Stochastic Integration with Jumps
$95.99 (C)
Part of Encyclopedia of Mathematics and its Applications
- Author: Klaus Bichteler, University of Texas, Austin
- Date Published: April 2010
- availability: Available
- format: Paperback
- isbn: 9780521142144
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95.99
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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.
Read more- Contains the most general stochastic integration theory, applicable to both semimartingales and random measures
- Comprehensive: contains complete proofs for everything that goes beyond a first graduate course in anlysis
- Over 700 exercises
Reviews & endorsements
"Questions of measurability turn out to be quite technical in this case, and the book under review provides a comprehensive and thorough study of these issues." Mathematical Reviews
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×Product details
- Date Published: April 2010
- format: Paperback
- isbn: 9780521142144
- length: 516 pages
- dimensions: 234 x 156 x 26 mm
- weight: 0.72kg
- availability: Available
Table of Contents
Preface
1. Introduction
2. Integrators and martingales
3. Extension of the integral
4. Control of integral and integrator
5. Stochastic differential equations
Appendix A. Complements to topology and measure theory
Appendix B. Answers to selected problems
References
Index.
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