Semimartingales
A Course on Stochastic Processes
Seiten
| Ausstattung: Hardcover & eBook
1982
De Gruyter
9783111784786 (ISBN)
De Gruyter
9783111784786 (ISBN)
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Frontmatter -- Preface -- Part 1: Martingales - Quasimartingales - Semimartingales -- Chapter 1: Basic notions on stochastic processes -- Chapter 2: Martingales and quasimartingales - Basic inequalities and convergence theorem - Application to stochastic algorithms -- Chapter 3: Quasimartingales from class [L. D] - Predictable and dual predictable projection of processes -- Chapter 4: Square integrable martingales and semimartingales -- Part II: Stochastic Calculus -- Chapter 5: Stochastic integral with respect to semimartingales and the transformation formula -- Chapter 6: First applications of the transformation theorem -- Chapter 7: Random measures and local characteristics of a semimartingale -- Chapter 8: Stochastic differential equations -- Bibliography -- Index of notation -- Index -- Backmatter
| Reihe/Serie | De Gruyter Studies in Mathematics ; 2 |
|---|---|
| Zusatzinfo | Includes a print version and an ebook |
| Verlagsort | Berlin |
| Sprache | englisch |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Allgemeines / Lexika |
| Schlagworte | Mathematics • probability and statistics • Semimartingal • Semimartingales (Mathematics) • Stochastic Processes • Stochastischer Prozess |
| ISBN-13 | 9783111784786 / 9783111784786 |
| Zustand | Neuware |
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