Change of Time and Change of Measure provides a comprehensive
account of two topics that are of particular significance in both
theoretical and applied stochastics: random change of time and
change of probability law.Random change of time is key to
understanding the nature of various stochastic processes, and gives
rise to interesting mathematical results and insights of importance
for the modeling and interpretation of empirically observed dynamic
processes. Change of probability law is a technique for solving
central questions in mathematical finance, and also has a
considerable role in insurance mathematics, large deviation theory,
and other fields.The book comprehensively collects and integrates
results from a number of scattered sources in the literature and
discusses the importance of the results relative to the existing
literature, particularly with regard to mathematical finance. It is
invaluable as a textbook for graduate-level courses and students or
a handy reference for researchers and practitioners in financial
mathematics and econometrics.
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