Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus

Jorg-Uwe Lobus (Autor)

Buch | Softcover

135 Seiten

2017
American Mathematical Society (Verlag)
978-1-4704-2603-3 (ISBN)

Titel z.Zt. nicht lieferbar
Versandkostenfrei
Auch auf Rechnung

Artikel merken

The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A?A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process.

Jorg-Uwe Lobus, Linkopings Universitet, Sweden.

Introduction, Basic objects, and main result
Flows and logarithmic derivative relative to $X$ under orthogonal projection
The density formula
Partial integration
Relative compactness of particle systems
Appendix A. Basic Malliavin calculus for Brownian motion with random initial data
References
Index.

Erscheinungsdatum	12.10.2017
Reihe/Serie	Memoirs of the American Mathematical Society
Verlagsort	Providence
Sprache	englisch
Maße	178 x 254 mm
Gewicht	220 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-10	1-4704-2603-X / 147042603X
ISBN-13	978-1-4704-2603-3 / 9781470426033
Zustand	Neuware