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Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations
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Stochastic Integration with Jumps (Paperback)
Loot Price: R2,199
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Stochastic Integration with Jumps (Paperback)
Series: Encyclopedia of Mathematics and its Applications
Expected to ship within 12 - 17 working days
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Stochastic processes with jumps and random measures are importance
as drivers in applications like financial mathematics and signal
processing. This 2002 text 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 results from ordinary
integration theory, for instance previsible envelopes and an
algorithm computing stochastic integrals of caglad integrands
pathwise. Full proofs are given for all results, and motivation is
stressed throughout. A large appendix contains most of the analysis
that readers will need as a prerequisite. This will be an
invaluable reference for graduate students and researchers in
mathematics, physics, electrical engineering and finance who need
to use stochastic differential equations.
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