Klaus Bichteler

Stochastic Integration with Jumps (eBook, PDF)

• Format: PDF

Produktbeschreibung

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 caglad integrands pathwise. Full proofs are given for all results, and motivation is stressed throughout. A large appendix contains most of the analysis that readers will need as a prerequisite. This will be an invaluable reference for graduate students and researchers in mathematics, physics, electrical engineering and finance who need to use stochastic differential equations.

---

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, HR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden.

Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 13. Mai 2002
• Englisch
• ISBN-13: 9780511889288
• Artikelnr.: 56703137

Inhaltsangabe

Preface
1. Introduction
2. Integrators and martingales
3. Extension of the integral
4. Control of integral and integrator
5. Stochastic differential equations
Appendix A. Complements to topology and measure theory
Appendix B. Answers to selected problems
References
Index.