دانلود کتاب Stochastic analysis in discrete and continuous settings: With normal martingales

Name: Stochastic analysis in discrete and continuous settings: With normal martingales
Availability: InStock
Author: Nicolas Privault (auth.)
ISBN: 3642023797, 9783642023798

by Nicolas Privault (auth.)

عنوان فارسی: تجزیه و تحلیل تصادفی در تنظیمات گسسته و پیوسته: با martingales طبیعی
ناشر: Springer-Verlag Berlin Heidelberg
سال: 2009
ویرایش: 1
زبان: انگلیسی
تعداد صفحه (نسخه چاپی - نسخه الکترونیکی): 282-321
شابک: 3642023797, 9783642023798
نوع فایل: PDF دانلود نرم افزار مطالعه
حجم: 2.00 مگابایت

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جزییات کتاب

This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance.

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