Stochastic Analysis in Discrete and Continuous Settings

With Normal Martingales

By:

Nicolas Privault

Format:

Paperback / softback

Series:

Lecture Notes in Mathematics

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Description

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.

Release date Australia

August 14th, 2009

Author

Nicolas Privault

Audience

Professional & Vocational

Illustrations

XVI, 282 p.

Pages

282

Series

Lecture Notes in Mathematics

Dimensions

156x234x17

ISBN-13

9783642023798

Product ID

3164314

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