Stochastic Integration with Jumps by Klaus Bichteler

Stochastic Integration with Jumps by Klaus Bichteler

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.

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	Non disponible
ISBN 13	9780521811293
ISBN 10	0521811295
Titre	Stochastic Integration with Jumps
Auteur	Klaus Bichteler
Série	Encyclopedia Of Mathematics And Its Applications
État	Non disponible
Type de reliure	Hardback
Éditeur	Cambridge University Press
Année de publication	2002-05-13
Nombre de pages	516
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible