Stochastic Integration with Jumps - Klaus Bichteler,Bichteler Klaus
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Saadetis 17-23 tööpäeva jooksul
30-päevane tagastamisõigus
Stochastic processes with jumps and random measures are gaining importance as drivers in applications like financial mathematics and signal processing. This book develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations dr ... Täielik kirjeldus
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Kirjeldus
Stochastic processes with jumps and random measures are gaining importance as drivers in applications like financial mathematics and signal processing. This book develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations driven by them, as well as their stability and numerical approximation theories. Highlights feature DCT and Egoroff's Theorem, as well as comprehensive analogs to results from ordinary integration theory, for instance, previsible envelopes and an algorithm computing stochastic integrals of caglad integrands pathwise.
Lisateave
| Autor | Klaus Bichteler, Bichteler Klaus |
|---|---|
| Kirjastaja | Cambridge University Press |
| Väljalaskeaasta | 2008 |
| Kaanetüüp | Kõvakaaneline |
| EAN | 9780521811293 |