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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Discretization of Processes

Discretization of Processes

Protter, Philip
Jacod, Jean

Hardcover

Series: Stochastic Modelling and Applied Probability, Book 67

Business GeneralEconomicsProbability & Statistics

ISBN10: 3642241263
ISBN13: 9783642241260
Publisher: Springer
Published: Oct 23 2011
Pages: 596
Weight: 2.26
Height: 1.31 Width: 6.14 Depth: 9.21
Language: English

In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, In God we trust; all others must bring data.

This book establishes the theory of how to go about estimating not just scalar parameters about a proposed model, but also the underlying structure of the model itself. Classic statistical tools are used: the law of large numbers, and the central limit theorem. Researchers have recently developed creative and original methods to use these tools in sophisticated (but highly technical) ways to reveal new details about the underlying structure. For the first time in book form, the authors present these latest techniques, based on research from the last 10 years. They include new findings.

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