Download or read book Conic Martingales from Stochastic Integrals written by and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Martingales And Stochastic Analysis written by James J Yeh and published by World Scientific. This book was released on 1995-12-08 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations. The book is clearly written and details of proofs are worked out.
Download or read book Martingales and Stochastic Integrals I written by Paul-André Meyer and published by . This book was released on 2014-01-15 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Martingales and Stochastic Integrals written by Paul André Meyer and published by Springer. This book was released on 1972 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book contains a preliminary version (the second draft) of the first two chapters of a book on martingales and stochastic integrals. If the following chapters are ever written, it will be as a joint work with Cl. Dellacherie ... The next installment then will be on stochastic integrals."--Introduction.
Download or read book Martingales and Stochastic Integrals written by P. E. Kopp and published by Cambridge University Press. This book was released on 2008-11-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual. He gives a fairly full discussion of the measure theory and functional analysis needed for martingale theory, and describes the role of Brownian motion and the Poisson process as paradigm examples in the construction of abstract stochastic integrals. An appendix provides the reader with a glimpse of very recent developments in non-commutative integration theory which are of considerable importance in quantum mechanics. Thus equipped, the reader will have the necessary background to understand research in stochastic analysis. As a textbook, this account will be ideally suited to beginning graduate students in probability theory, and indeed it has evolved from such courses given at Hull University. It should also be of interest to pure mathematicians looking for a careful, yet concise introduction to martingale theory, and to physicists, engineers and economists who are finding that applications to their disciplines are becoming increasingly important.
Download or read book Stochastic Integration and Generalized Martingales written by A. U. Kussmaul and published by Pitman Publishing. This book was released on 1977 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Integrals written by H. P. McKean and published by Academic Press. This book was released on 2014-06-20 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Integrals discusses one area of diffusion processes: the differential and integral calculus based upon the Brownian motion. The book reviews Gaussian families, construction of the Brownian motion, the simplest properties of the Brownian motion, Martingale inequality, and the law of the iterated logarithm. It also discusses the definition of the stochastic integral by Wiener and by Ito, the simplest properties of the stochastic integral according to Ito, and the solution of the simplest stochastic differential equation. The book explains diffusion, Lamperti's method, forward equation, Feller's test for the explosions, Cameron-Martin's formula, the Brownian local time, and the solution of dx=e(x) db + f(x) dt for coefficients with bounded slope. It also tackles Weyl's lemma, diffusions on a manifold, Hasminski's test for explosions, covering Brownian motions, Brownian motions on a Lie group, and Brownian motion of symmetric matrices. The book gives as example of a diffusion on a manifold with boundary the Brownian motion with oblique reflection on the closed unit disk of R squared. The text is suitable for economists, scientists, or researchers involved in probabilistic models and applied mathematics.
Download or read book Brownian Motion Martingales and Stochastic Calculus written by Jean-François Le Gall and published by Springer. This book was released on 2016-04-28 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
Download or read book Stochastic Integrals written by Heinrich von Weizsäcker and published by Springer-Verlag. This book was released on 2013-07-02 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Integrals for Nigh martingales written by Laurence Chisholm Young and published by . This book was released on 1968 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic integral is defined in which the integrand and the process with respect to which one integrates are stochastic, the process being supposed in a certain sense 'close' to being a martingale. (Author).
Download or read book Theory of Martingales written by Robert Liptser and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 806 pages. Available in PDF, EPUB and Kindle. Book excerpt: One service mathematics has rc:ndered the 'Et moi, "', si j'avait su comment CD revenir, je n'y serais point alle. ' human race. It has put common SCIIJC back Jules Verne where it belongs. on the topmost shelf next to tbe dusty canister 1abdled 'discarded non- The series is divergent; tberefore we may be sense'. able to do sometbing witb it Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics ... '; 'One service logic has rendered com puter science ... '; 'One service category theory has rendered mathematics ... '. All arguably true_ And all statements obtainable this way form part of the raison d'etre of this series_ This series, Mathematics and Its ApplicatiOns, started in 1977. Now that over one hundred volumes have appeared it seems opportune to reexamine its scope_ At the time I wrote "Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However, the 'tree' of knowledge of mathematics and related fields does not grow only by putting forth new branches.
Download or read book Semimartingales written by Michel Métivier and published by Walter de Gruyter. This book was released on 2011-06-01 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of monographs and high-level textbooks in mathematics, mathematical methods and their applications. Apart from covering important areas of current interest, a major aim is to make topics of an interdisciplinary nature accessible to the non-specialist. The works in this series are addressed to advanced students and researchers in mathematics and theoretical physics. In addition, it can serve as a guide for lectures and seminars on a graduate level. The series de Gruyter Studies in Mathematics was founded ca. 30 years ago by the late Professor Heinz Bauer and Professor Peter Gabriel with the aim to establish a series of monographs and textbooks of high standard, written by scholars with an international reputation presenting current fields of research in pure and applied mathematics. While the editorial board of the Studies has changed with the years, the aspirations of the Studies are unchanged. In times of rapid growth of mathematical knowledge carefully written monographs and textbooks written by experts are needed more than ever, not least to pave the way for the next generation of mathematicians. In this sense the editorial board and the publisher of the Studies are devoted to continue the Studies as a service to the mathematical community. Please submit any book proposals to Niels Jacob.
Download or read book Quasi martingales and Stochastic Integrals written by Donald LeRoy Fisk and published by . This book was released on 1963 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic integration and generalized martingales written by Alfred Kussmaul and published by . This book was released on 1977 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Continuous Exponential Martingales and BMO written by Norihiko Kazamaki and published by Springer. This book was released on 2006-11-15 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales.
Download or read book Random Series and Stochastic Integrals written by Stanislaw Kwapien and published by . This book was released on 2005-06 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Martingale Approximations written by I︠U︡riĭ Vasilʹevich Borovskikh and published by VSP. This book was released on 1997 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Limit theorems for semimartingales form the basis of the martingale approximation approach. The methods of martingale approximation addressed in this book pertain to estimates of the rate of convergence in the central limit theorem and in the invariance principle. Some applications of martingale approximation are illustrated by the analysis of U-statistics, rank statistics, statistics of exchangeable variables and stochastic exponential statistics. Simplified results of stochastic analysis are given for use in investigations of many applied problems, including mathematical statistics, financial mathematics, mathematical biology, industrial mathematics and engineering.
