Stochastic Integration with Jumps
By (author) Klaus Bichteler
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Stochastic Integration with Jumps by Klaus Bichteler
Book DescriptionStochastic processes with jumps and random measures are importance as drivers in applications like financial mathematics and signal processing. This 2002 text 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 results from ordinary integration theory, for instance previsible envelopes and an algorithm computing stochastic integrals of c...gl...d integrands pathwise. Full proofs are given for all results, and motivation is stressed throughout. A large appendix contains most of the analysis that readers will need as a prerequisite. This will be an invaluable reference for graduate students and researchers in mathematics, physics, electrical engineering and finance who need to use stochastic differential equations.
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Book DetailsISBN: 9780521811293
(234mm x 156mm x 29mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 13-May-2002
Country of Publication: United Kingdom
Books By Author Klaus Bichteler
Stochastic Integration with Jumps, Paperback (April 2010)» View all books by Klaus Bichteler
The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
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