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Bestseller
BestsellerE-book
Author Bichteler, Klaus.

Title Stochastic integration with jumps / Klaus Bichteler.

Publication Info. Cambridge, UK ; New York : Cambridge University Press, 2002.

Item Status

Description 1 online resource (xiii, 501 pages) : illustrations.
Physical Medium polychrome
Description text file
Series Encyclopedia of mathematics and its applications
Encyclopedia of mathematics and its applications.
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.
Stochastic integrals.
Jump processes.
Jump processes.
Genre/Form Electronic books.
Electronic books.
Other Form: Print version: Bichteler, Klaus. Stochastic integration with jumps 0521811295 (DLC) 2001043017 (OCoLC)47443931
ISBN 9780511020735 (electronic book)
0511020732 (electronic book)
9780511549878 (electronic book)
0511549873 (electronic book)
9781107095861
1107095867
0521811295
9780521811293