Coverart for item
The Resource Stochastic analysis in discrete and continuous settings : with normal martingales, Nicolas Privault

Stochastic analysis in discrete and continuous settings : with normal martingales, Nicolas Privault

Label
Stochastic analysis in discrete and continuous settings : with normal martingales
Title
Stochastic analysis in discrete and continuous settings
Title remainder
with normal martingales
Statement of responsibility
Nicolas Privault
Creator
Subject
Language
eng
Summary
This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Privault, Nicolas
Dewey number
519.22
Illustrations
illustrations
Index
index present
LC call number
  • QA274.2
  • QA3
LC item number
  • .P758 2009
  • .L28 no.1982
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
NLM call number
Online Book
Series statement
Lecture notes in mathematics,
Series volume
1982
http://library.link/vocab/subjectName
  • Stochastic analysis
  • Space and time
  • Martingales (Mathematics)
  • Stochastic Processes
  • Martingales (Mathematics)
  • Space and time
  • Stochastic analysis
  • Stochastische Analysis
Label
Stochastic analysis in discrete and continuous settings : with normal martingales, Nicolas Privault
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 301-307) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
The Discrete Time Case -- Continuous Time Normal Martingales -- Gradient and Divergence Operators -- Annihilation and Creation Operators -- Analysis on the Wiener Space -- Analysis on the Poisson Space -- Local Gradients on the Poisson Space -- Option Hedging in Continuous Time
Control code
656394078
Dimensions
unknown
Extent
1 online resource (ix, 310 pages)
Form of item
online
Isbn
9783642023804
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-02380-4.
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-642-02379-8
Specific material designation
remote
System control number
(OCoLC)656394078
Label
Stochastic analysis in discrete and continuous settings : with normal martingales, Nicolas Privault
Publication
Bibliography note
Includes bibliographical references (pages 301-307) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
The Discrete Time Case -- Continuous Time Normal Martingales -- Gradient and Divergence Operators -- Annihilation and Creation Operators -- Analysis on the Wiener Space -- Analysis on the Poisson Space -- Local Gradients on the Poisson Space -- Option Hedging in Continuous Time
Control code
656394078
Dimensions
unknown
Extent
1 online resource (ix, 310 pages)
Form of item
online
Isbn
9783642023804
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-642-02380-4.
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-642-02379-8
Specific material designation
remote
System control number
(OCoLC)656394078

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
Processing Feedback ...