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Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales by Nicolas Privault (Paperback, 2009)

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About this product

Product Information

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.

Product Identifiers

Publisher
Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
ISBN-13
9783642023798
eBay Product ID (ePID)
95567367

Product Key Features

Author
Nicolas Privault
Publication Name
Stochastic Analysis in Discrete and Continuous Settings: with Normal Martingales
Format
Paperback
Language
English
Subject
Engineering & Technology, Mathematics
Publication Year
2009
Type
Textbook
Number of Pages
282 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Volume
1982
Item Weight
1020g

Additional Product Features

Title_Author
Nicolas Privault
Series Title
Lecture Notes in Mathematics
Country/Region of Manufacture
Germany

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