| Semimartingale Theory and Stochastic Calculus Contributor(s): He, Wang, Yan (Author) |
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ISBN: 0849377153 ISBN-13: 9780849377150 Publisher: CRC Press OUR PRICE: $228.00 Product Type: Hardcover - Other Formats Published: September 1992 Annotation: Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - Bayesian Analysis - Science | Chemistry - General |
| Dewey: 519.287 |
| LCCN: QA274 |
| Physical Information: 1.23" H x 6.24" W x 9.92" (2.04 lbs) 560 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students. |