Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales
Nicolas Privault (auth.)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.
Kateqoriyalar:
İl:
2009
Nəşr:
1
Nəşriyyat:
Springer-Verlag Berlin Heidelberg
Dil:
english
Səhifələr:
282
ISBN 10:
3642023797
ISBN 13:
9783642023798
Seriyalar:
Lecture Notes in Mathematics 1982
Fayl:
PDF, 2.39 MB
IPFS:
,
english, 2009
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