Stochastic analysis in discrete and continuous settings
Nicolas Privault · 2009
Where to buy
Amazon’s price changes daily, so the most accurate place to see it is there, at the moment you buy.
View on AmazonThis is an affiliate link: if you buy through it, the site earns a small commission at no extra cost to you, which helps us bring quality content and maintain the site. As an Amazon Associate we earn from qualifying purchases.
About the book
"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."--Publisher's website.
Book details
- Year
- 2009
- Language
- English
- Series
- Lecture notes in mathematics -- 1982
- Publisher
- Springer
- Editions
- 3
- Pages
- 310
- ISBN
- 9783642023798
Data source: Wikidata
More by Nicolas Privault
