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Stochastic Integration with Jumps

£69.99

Part of Encyclopedia of Mathematics and its Applications

  • Date Published: April 2010
  • availability: Available
  • format: Paperback
  • isbn: 9780521142144

£ 69.99
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  • Stochastic processes with jumps and random measures are importance as drivers in applications like financial mathematics and signal processing. This 2002 text 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 results from ordinary integration theory, for instance previsible envelopes and an algorithm computing stochastic integrals of càglàd integrands pathwise. Full proofs are given for all results, and motivation is stressed throughout. A large appendix contains most of the analysis that readers will need as a prerequisite. This will be an invaluable reference for graduate students and researchers in mathematics, physics, electrical engineering and finance who need to use stochastic differential equations.

    • 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
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    Reviews & endorsements

    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

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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.

  • Author

    Klaus Bichteler, University of Texas, Austin

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