Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales

di Nicolas Privault (Autore)

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2009

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.

• Autore: Nicolas Privault
• Editore: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Collana: Lecture Notes in Mathematics
• Anno: 2009
• Rilegatura: Paperback / softback
• Pagine: 282 p.
• Dimensioni: 235 x 155 mm
• EAN: 9783642023798

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