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Stochastic Integration with Jumps by Klaus Bichteler, Bichteler Klaus

Stochastic Integration with Jumps

by Klaus Bichteler , Bichteler Klaus
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Book cover type: Paperback
  • ISBN13: 9780521142144
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press
  • Publication Date:
  • Pages: 516
  • Original Price: GBP 81.0
  • Language: English
  • Edition: 1
  • Item Weight: 717 grams
  • BISAC Subject(s): Probability & Statistics / General

Stochastic processes with jumps and random measures are gaining importance as drivers in applications like financial mathematics and signal processing. This book develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations driven by them, as well as their stability and numerical approximation theories. Highlights feature DCT and Egoroff's Theorem, as well as comprehensive analogs to results from ordinary integration theory, for instance, previsible envelopes and an algorithm computing stochastic integrals of c agl ad integrands pathwise.

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