Stochastic Analysis in Discrete and Continuous Settings - With Normal Martingales (Paperback, 2009 ed.)

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Mathematics, 1982
Release date:	August 2009
First published:	2009
Authors:	Nicolas Privault
Dimensions:	235 x 155 x 17mm (L x W x T)
Format:	Paperback
Pages:	282
Edition:	2009 ed.
ISBN-13:	978-3-642-02379-8
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Optimization > Game theory Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling Promotions
LSN:	3-642-02379-7
Barcode:	9783642023798

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