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Stochastic Integration with Jumps

Language EnglishEnglish
Book Hardback
Book Stochastic Integration with Jumps Klaus Bichteler
Libristo code: 02044513
Publishers Cambridge University Press, May 2002
Stochastic processes with jumps and random measures are importance as drivers in applications like f... Full description
? points 507 b
202.69 €
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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

About the book

Full name Stochastic Integration with Jumps
Author Klaus Bichteler
Language English
Binding Book - Hardback
Date of issue 2002
Number of pages 516
EAN 9780521811293
ISBN 0521811295
Libristo code 02044513
Publishers Cambridge University Press
Weight 897
Dimensions 164 x 242 x 34

Categories

Mathematics & Science > Mathematics > Calculus & mathematical analysis
Mathematics & Science > Mathematics > Probability & statistics
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