Code: 02023679

Stochastic Integration with Jumps

Name: Stochastic Integration with Jumps
Brand: Cambridge University Press
SKU: 02023679
Price: 102.52 EUR
Availability: InStock
Author: Klaus Bichteler
ISBN: 9780521142144

by Klaus Bichteler

Language: English
Binding: Paperback
Number of pages: 516
Publisher: Cambridge University Press, 2010
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Book synopsis

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 c