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Semimartingale Theory and Stochastic Calculus by Sheng-Wu He

Semimartingale Theory and Stochastic Calculus

by Sheng-Wu He , Jia-Gang Wang , Jia-An Yan
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Book cover type: Hardcover
  • ISBN13: 9780849377150
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Routledge
  • Publisher Imprint: CRC Press
  • Publication Date:
  • Pages: 560
  • Original Price: GBP 190.0
  • Language: English
  • Edition: N/A
  • Item Weight: 926 grams
  • BISAC Subject(s): Probability & Statistics / Bayesian Analysis

Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.

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