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privault nicolas - stochastic analysis in discrete and continuous settings

Stochastic Analysis in Discrete and Continuous Settings With Normal Martingales




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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Springer

Pubblicazione: 08/2009
Edizione: 2009





Trama

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.




Sommario

The Discrete Time Case.- Continuous Time Normal Martingales.- Gradient and Divergence Operators.- Annihilation and Creation Operators.- Analysis on the Wiener Space.- Analysis on the Poisson Space.- Local Gradients on the Poisson Space.- Option Hedging in Continuous Time.










Altre Informazioni

ISBN:

9783642023798

Condizione: Nuovo
Collana: Lecture Notes in Mathematics
Dimensioni: 235 x 155 mm Ø 1020 gr
Formato: Brossura
Illustration Notes:XVI, 282 p.
Pagine Arabe: 282
Pagine Romane: xvi


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