E-Book, Englisch, Band 1982, 282 Seiten, eBook
Reihe: Lecture Notes in Mathematics
Privault Stochastic Analysis in Discrete and Continuous Settings
2009
ISBN: 978-3-642-02380-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
With Normal Martingales
E-Book, Englisch, Band 1982, 282 Seiten, eBook
Reihe: Lecture Notes in Mathematics
ISBN: 978-3-642-02380-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
