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＜電子ブック＞
Stochastic Analysis in Discrete and Continuous Settings : With Normal Martingales / by Nicolas Privault
(Lecture Notes in Mathematics. ISSN:16179692 ; 1982)

版	1st ed. 2009.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2009
本文言語	英語
大きさ	XVI, 282 p : online resource
著者標目	*Privault, Nicolas author SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Mathematical models LCSH:Game theory FREE:Probability Theory FREE:Mathematical Modeling and Industrial Mathematics FREE:Game Theory
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/978-3-642-02380-4

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