Stochastic integration with jumps
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 nov...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press
2002.
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| Colección: | CUP ebooks.
Encyclopedia of mathematics and its applications ; volume 89. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b45436472*spi |
| Sumario: | 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 càglàd 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. |
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| Descripción Física: | 1 recurso electrónico (xiii, 501 páginas) |
| Formato: | Forma de acceso: World Wide Web. |
| ISBN: | 9780511549878 |
