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Opis

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.

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Applied mathematics

• Pełny tytuł: Stochastic Analysis in Discrete and Continuous Settings
• Podtytuł: With Normal Martingales
• Autor: Nicolas Privault
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 282
• EAN: 9783642023798
• ISBN: 3642023797
• ID: 01649944
• Wydawca: Springer, Berlin
• Waga: 528 g
• Wymiary: 238 × 154 × 17 mm
• Rok wydania: 2009

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