Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (2009)Paperback - 2009, 14 August 2009

Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (2009)
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Part of Series
Lecture Notes in Mathematics
Print Length
282 pages
Language
English
Publisher
Springer
Date Published
14 Aug 2009
ISBN-10
3642023797
ISBN-13
9783642023798

Description

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras, expectations, andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingale

Product Details

Book Edition:
2009
Book Format:
Paperback
Country of Origin:
NL
Date Published:
14 August 2009
Dimensions:
23.39 x 15.6 x 1.75 cm
Genre:
Science/Technology Aspects
ISBN-10:
3642023797
ISBN-13:
9783642023798
Language:
English
Location:
Berlin, Heidelberg
Pages:
282
Publisher:
Weight:
458.13 gm