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Stochastic Integration with Jumps

Stochastic Integration with Jumps

Paperback

Series: Encyclopedia of Mathematics and Its Applications, Book 89

Probability & Statistics

ISBN10: 0521142148
ISBN13: 9780521142144
Publisher: Cambridge University Press
Published: Apr 1 2010
Pages: 516
Weight: 1.58
Height: 1.04 Width: 6.14 Depth: 9.21
Language: English
Stochastic processes with jumps and random measures are gaining importance as drivers in applications like financial mathematics and signal processing. This book develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations driven by them, as well as their stability and numerical approximation theories. Highlights feature DCT and Egoroff's Theorem, as well as comprehensive analogs to results from ordinary integration theory, for instance, previsible envelopes and an algorithm computing stochastic integrals of c agl ad integrands pathwise.

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