Stochastic integration with jumps

＜図書＞
Stochastic integration with jumps

責任表示	Klaus Bichteler
シリーズ	Encyclopedia of mathematics and its applications / edited by G.-C. Rota ; v. 89
データ種別	図書
出版情報	Cambridge : Cambridge University Press , 2002
本文言語	英語
大きさ	xiii, 501 p. : ill. ; 24 cm
概要	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. 続きを見る

状態	巻次	所蔵場所	請求記号	刷年	文庫名称	資料番号	コメント	予約・取寄	複写申込	自動書庫
		理系図3F 数理独自	BICH/10/3	2001		023212002001888		予約・取寄			予約・取寄
	: hardback	理系図自動書庫	105/BIC	2002		027232003191368		予約・取寄		出庫可能	予約・取寄		出庫可能

一般注記	Bibliography: p. 477-482 Includes indexes
著者標目	*Bichteler, Klaus
件　名	LCSH:Stochastic Integrals LCSH:Jump processes
分　類	LCC:QA274.22 DC21:519.2
書誌ID	1001202565
ISBN	9780521811293
NCID	BA56729986
巻冊次	: hardback ; ISBN:9780521811293 ; XISBN:0521811295
登録日	2009.09.18
更新日	2009.09.18