Semimartingale Theory And Stochastic Calculus
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Semimartingale Theory and Stochastic Calculus
Author | : Sheng-Wu He,Jia-Gang Wang,Jia-an Yan |
Publsiher | : Routledge |
Total Pages | : 561 |
Release | : 2019-07-09 |
Genre | : Mathematics |
ISBN | : 9781351416962 |
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Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.
Semimartingale Theory and Stochastic Calculus
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Author | : Sheng-Wu He,Jiagang Wang,Jia-An Yan |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 1992 |
Genre | : MATHEMATICS |
ISBN | : 0203739906 |
Download Semimartingale Theory and Stochastic Calculus Book in PDF, Epub and Kindle
Semimartingale Theory and Stochastic Calculus
Author | : Sheng-Wu He,Jia-Gang Wang,Jia-an Yan |
Publsiher | : Routledge |
Total Pages | : 421 |
Release | : 2019-07-09 |
Genre | : Mathematics |
ISBN | : 9781351416955 |
Download Semimartingale Theory and Stochastic Calculus Book in PDF, Epub and Kindle
Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.
Handbook of Stochastic Analysis and Applications
Author | : D. Kannan,V. Lakshmikantham |
Publsiher | : CRC Press |
Total Pages | : 800 |
Release | : 2001-10-23 |
Genre | : Mathematics |
ISBN | : 0824706609 |
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An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Brownian Motion Martingales and Stochastic Calculus
Author | : Jean-François Le Gall |
Publsiher | : Springer |
Total Pages | : 273 |
Release | : 2016-04-28 |
Genre | : Mathematics |
ISBN | : 9783319310893 |
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This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
Limit Theorems for Stochastic Processes
Author | : Jean Jacod,Albert Shiryaev |
Publsiher | : Unknown |
Total Pages | : 688 |
Release | : 2014-01-15 |
Genre | : Electronic Book |
ISBN | : 3662052660 |
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Brownian Motion and Stochastic Calculus
Author | : Ioannis Karatzas,Steven Shreve |
Publsiher | : Springer |
Total Pages | : 490 |
Release | : 2014-03-27 |
Genre | : Mathematics |
ISBN | : 9781461209492 |
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A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.
Semimartingales and Their Stochastic Calculus on Manifolds
Author | : Laurent Schwartz |
Publsiher | : Les Presses de L'Universite de Montreal |
Total Pages | : 192 |
Release | : 1984 |
Genre | : Mathematics |
ISBN | : UOM:39015038936186 |
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