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Stochastic Integration with Jumps

Language EnglishEnglish
Book Paperback
Book Stochastic Integration with Jumps Klaus Bichteler
Libristo code: 02023679
Publishers Cambridge University Press, April 2010
Stochastic processes with jumps and random measures are importance as drivers in applications like f... Full description
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Stochastic processes with jumps and random measures are importance as drivers in applications like financial mathematics and signal processing. This 2002 text develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations driven by them, as well as their stability and numerical approximation theories. Highlights feature DCT and Egoroff's Theorem, as well as comprehensive analogs results from ordinary integration theory, for instance previsible envelopes and an algorithm computing stochastic integrals of c

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About the book

Full name Stochastic Integration with Jumps
Author Klaus Bichteler
Language English
Binding Book - Paperback
Date of issue 2010
Number of pages 516
EAN 9780521142144
ISBN 0521142148
Libristo code 02023679
Publishers Cambridge University Press
Weight 734
Dimensions 156 x 234 x 23

Categories

Mathematics & Science > Mathematics > Calculus & mathematical analysis > Differential calculus & equations
Mathematics & Science > Mathematics > Applied mathematics > Stochastics
Mathematics & Science > Mathematics > Probability & statistics
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