Nicolas Privault
Stochastic Analysis in Discrete and Continuous Settings
With Normal Martingales
Paperback Engels 2009 9783642023798Levertijd ± 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783642023798
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:282
Uitgever:Springer Berlin Heidelberg
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Inhoudsopgave
The Discrete Time Case.- Continuous Time Normal Martingales.- Gradient and Divergence Operators.- Annihilation and Creation Operators.- Analysis on the Wiener Space.- Analysis on the Poisson Space.- Local Gradients on the Poisson Space.- Option Hedging in Continuous Time.
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