Description |
1 online resource (xiii, 501 pages) : illustrations. |
Physical Medium |
polychrome |
Description |
text file |
Series |
Encyclopedia of mathematics and its applications
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Encyclopedia of mathematics and its applications.
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Bibliography |
Includes bibliographical references (pages 477-482) and indexes. |
Contents |
Motivation: Stochastic Differential Equations -- Wiener Process -- General Model -- Integrators and Martingales -- Elementary Stochastic Integral -- Semivariations -- Path Regularity of Integrators -- Processes of Finite Variation -- Martingales -- Extension of the Integral -- Daniell Mean -- Integration Theory of a Mean -- Countable Additivity in p-Mean -- Measurability -- Predictable and Previsible Processes -- Special Properties of Daniell's Mean -- Indefinite Integral -- Functions of Integrators -- Ito's Formula -- Random Measures -- Control of Integral and Integrator -- Change of Measure--Factorization -- Martingale Inequalities -- Doob-Meyer Decomposition -- Semimartingales -- Previsible Control of Integrators -- Levy Processes -- Stochastic Differential Equations -- Existence and Uniqueness of the Solution -- Stability: Differentiability in Parameters -- Pathwise Computation of the Solution -- Weak Solutions -- Stochastic Flows -- Semigroups, Markov Processes, and PDE -- Complements to Topology and Measure Theory -- Notations and Conventions -- Topological Miscellanea -- Measure and Integration -- Weak Convergence of Measures -- Analytic Sets and Capacity -- Suslin Spaces and Tightness of Measures -- Skorohod Topology -- L[superscript p]-Spaces -- Semigroups of Operators. |
Summary |
The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories. |
Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
Subject |
Stochastic integrals.
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Stochastic integrals. |
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Jump processes.
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Jump processes. |
Genre/Form |
Electronic books.
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Electronic books.
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Other Form: |
Print version: Bichteler, Klaus. Stochastic integration with jumps 0521811295 (DLC) 2001043017 (OCoLC)47443931 |
ISBN |
9780511020735 (electronic book) |
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0511020732 (electronic book) |
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9780511549878 (electronic book) |
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0511549873 (electronic book) |
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9781107095861 |
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1107095867 |
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0521811295 |
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9780521811293 |
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