Stochastic Analysis in Discrete and Continuous Settings

Name: Stochastic Analysis in Discrete and Continuous Settings
Brand: Springer, Berlin
SKU: 9783642023798
Price: 54.02 EUR
Availability: InStock

With Normal Martingales

Autor: Nicolas Privault

Jazyk:

Väzba: Brožovaná

Vydavateľ: Springer, Berlin

Dostupnosť: Skladom u dodávateľa v malom množstve

Odosielame za 11-15 dní

54.02 €

This volume gives a unified presentation of stochastic analysis for continuous and discontinuous sto...

Informácie o knihe

Autor

Nicolas Privault

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2009

Stránok

282

EAN

9783642023798

ISBN

3642023797

Enbook ID

01649944

Vydavateľ

Springer, Berlin

Hmotnosť

528

Rozmery

154 x 238 x 17

Kompletný popis

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.

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Stochastic Analysis in Discrete and Continuous Settings

With Normal Martingales

Informácie o knihe

Kompletný popis

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