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Anotace knihy

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

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Calculus & mathematical analysis

• Plný název: Stochastic Integration with Jumps
• Autor: Klaus Bichteler
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 516
• EAN: 9780521142144
• ISBN: 0521142148
• ID: 02023679
• Nakladatelství: Cambridge University Press
• Hmotnost: 734 g
• Rozměry: 234 × 156 × 23 mm
• Datum vydání: 01. April 2010

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