Stochastic Integration with Jumps
Stochastic Integration with Jumps
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Summary
The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
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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
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 | Unavailable |
| ISBN 13 | 9780521811293 |
| ISBN 10 | 0521811295 |
| Title | Stochastic Integration with Jumps |
| Author | Klaus Bichteler |
| Series | Encyclopedia Of Mathematics And Its Applications |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Cambridge University Press |
| Year published | 2002-05-13 |
| Number of pages | 516 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |