Stochastic Analysis in Discrete and Continuous Settings

Name: Stochastic Analysis in Discrete and Continuous Settings
Brand: Springer, Berlin
SKU: 9783642023798
Price: 1311 CZK
Availability: InStock

With Normal Martingales

Autor: Nicolas Privault

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer, Berlin

Dostupnost: Skladem u dodavatele v malém množství

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

Informace o knize

Autor

Nicolas Privault

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2009

Stránek

282

EAN

9783642023798

ISBN

3642023797

Enbook ID

01649944

Vydavatel

Springer, Berlin

Hmotnost

528

Rozměry

154 x 238 x 17

Kompletní 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

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také