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Stochastic integration with jumps /Klaus Bichteler.

By: Material type: TextTextSeries: Publication details: Cambridge, UK ; New York : Cambridge University Press, (c)2002.Description: 1 online resource (xiii, 501 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511020735
  • 9780511549878
  • 9781107095861
Subject(s): Genre/Form: LOC classification:
  • QA274 .S763 2002
Online resources: Available additional physical forms:
Contents:
Motivation: Stochastic Differential Equations -- Wiener Process -- The General Model -- Integrators and Martingales -- The Elementary Stochastic Integral -- The Semivariations -- Path Regularity of Integrators -- Processes of Finite Variation -- Martingales -- Extension of the Integral -- The Daniell Mean -- The Integration Theory of a Mean -- Countable Additivity in p-Mean -- Measurability -- Predictable and Previsible Processes -- Special Properties of Daniell's Mean -- The Indefinite Integral -- Functions of Integrators -- Ito's Formula -- Random Measures -- Control of Integral and Integrator -- Change of Measure--Factorization -- Martingale Inequalities -- The Doob-Meyer Decomposition -- Semimartingales -- Previsible Control of Integrators -- Levy Processes -- Stochastic Differential Equations -- Existence and Uniqueness of the Solution -- Stability: Differentiability in Parameters -- Pathwise Computation of the Solution -- Weak Solutions -- Stochastic Flows -- Semigroups, Markov Processes, and PDE -- Complements to Topology and Measure Theory -- Notations and Conventions -- Topological Miscellanea -- Measure and Integration -- Weak Convergence of Measures -- Analytic Sets and Capacity -- Suslin Spaces and Tightness of Measures -- The Skorohod Topology -- The L[superscript p]-Spaces -- Semigroups of Operators.
Subject: The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
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Item type Current library Collection Call number URL Status Date due Barcode
Online Book (LOGIN USING YOUR MY CIU LOGIN AND PASSWORD) Online Book (LOGIN USING YOUR MY CIU LOGIN AND PASSWORD) G. Allen Fleece Library ONLINE Non-fiction QA274.22 (Browse shelf(Opens below)) Link to resource Available ocn861692903

Includes bibliographies and index.

Motivation: Stochastic Differential Equations -- Wiener Process -- The General Model -- Integrators and Martingales -- The Elementary Stochastic Integral -- The Semivariations -- Path Regularity of Integrators -- Processes of Finite Variation -- Martingales -- Extension of the Integral -- The Daniell Mean -- The Integration Theory of a Mean -- Countable Additivity in p-Mean -- Measurability -- Predictable and Previsible Processes -- Special Properties of Daniell's Mean -- The Indefinite Integral -- Functions of Integrators -- Ito's Formula -- Random Measures -- Control of Integral and Integrator -- Change of Measure--Factorization -- Martingale Inequalities -- The Doob-Meyer Decomposition -- Semimartingales -- Previsible Control of Integrators -- Levy Processes -- Stochastic Differential Equations -- Existence and Uniqueness of the Solution -- Stability: Differentiability in Parameters -- Pathwise Computation of the Solution -- Weak Solutions -- Stochastic Flows -- Semigroups, Markov Processes, and PDE -- Complements to Topology and Measure Theory -- Notations and Conventions -- Topological Miscellanea -- Measure and Integration -- Weak Convergence of Measures -- Analytic Sets and Capacity -- Suslin Spaces and Tightness of Measures -- The Skorohod Topology -- The L[superscript p]-Spaces -- Semigroups of Operators.

The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.

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