Stochastic integration with jumps

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Stochastic integration with jumps

Stochastic integration with jumps

Name: Stochastic integration with jumps
ISBN: 9780521811293

Klaus Bichteler

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Bichteler (mathematics, U. of Texas at Austin) aims to present the mathematical underpinning of stochastic analysis. Wiener process is treated for economics students and driving terms with jumps are covered to give mathematics students the background to connect with the literature and discrete time martingales. This leads to the most general Lebesgue-Stieltjes integral. Bichteler identifies the useful Lebesgue-Stieltjes distribution functions among all functions on the line and looks at criteria for process to be useful as "random distribution functions." Integration theory is demonstrated to be useful for finding these criteria.

Kategori:

Mathematics

Tahun:

2002

Edisi:

Penerbit:

Cambridge University Press

Bahasa:

english

Halaman:

508

ISBN 10: