| Stochastic Integration with Jumps Contributor(s): Bichteler, Klaus (Author), Klaus, Bichteler (Author), Rota, G. -C (Editor) |
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ISBN: 0521811295 ISBN-13: 9780521811293 Publisher: Cambridge University Press OUR PRICE: $180.50 Product Type: Hardcover - Other Formats Published: May 2002 Annotation: Stochastic processes with jumps and random measures are gaining importance as drivers in applications like financial mathematics and signal processing. This book 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 to results from ordinary integration theory, for instance, previsible envelopes and an algorithm computing stochastic integrals of caglad integrands pathwise. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Dewey: 519.2 |
| LCCN: 2001043017 |
| Series: Encyclopedia of Mathematics and Its Applications |
| Physical Information: 1.13" H x 6.14" W x 9.21" (1.97 lbs) 516 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Stochastic processes with jumps and random measures are gaining importance as drivers in applications like financial mathematics and signal processing. This book 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 to results from ordinary integration theory, for instance, previsible envelopes and an algorithm computing stochastic integrals of c agl ad integrands pathwise. |