Stochastic Integration with Jumps by Klaus Bichteler

Stochastic Integration with Jumps by Klaus Bichteler

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.

Review of the hardback: 'The material in the book is presented well: it is detailed, motivation is stressed throughout and the text is written with an enjoyable pinch of dry humour' Evelyn Buckwar, Zentralblatt MATH
Review of the hardback: 'The highlights of the monograph are: Girsanov-Meyer theory on shifted martingales, which covers both the Wiener and Poisson setting; a Doob-Meyer decomposition statement providing really deep information that the objects that can go through the Daniell-like construction of the stochastic. This is an excellent and informative monograph for a general mathematical audience.' EMS

SKU	Nicht verfügbar
ISBN 13	9780521142144
ISBN 10	0521142148
Titel	Stochastic Integration with Jumps
Autor	Klaus Bichteler
Serie	Encyclopedia Of Mathematics And Its Applications
Buchzustand	Nicht verfügbar
Bindungsart	Paperback
Verlag	Cambridge University Press
Erscheinungsjahr	2010-04-01
Seitenanzahl	516
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
Hinweis	Nicht verfügbar