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Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (Lecture Notes in Mathematics, Band 1982) - Softcover

Privault, Nicolas

 
9783642023798: Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales (Lecture Notes in Mathematics, Band 1982)
Softcover
ISBN 10: 3642023797 ISBN 13: 9783642023798
Verlag: Springer, 2009

Inhaltsangabe

This unified presentation of stochastic analysis for continuous and discontinuous stochastic processes in both discrete and continuous time is mostly self-contained and accessible to readers who have already received a basic training in probability.

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This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance.

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Verlag
Springer
Erscheinungsdatum
2009
Sprache
Englisch
ISBN 10 
3642023797
ISBN 13 
9783642023798
Einband
Taschenbuch
Anzahl der Seiten
328
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