Stochastic analysis in discrete and continuous settings : with normal martingales
This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The si...
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| Autor principal: | |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado em: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edição: | 1st ed. 2009. |
| Colecção: | Lecture Notes in Mathematics
1982 |
| Assuntos: | |
| Acesso em linha: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 30 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic analysis in discrete and continuous settings, with normal martingales, Nicolas Privault, 2009, Berlin, Springer, 1 vol. (IX-310 p.), Lecture notes in mathematics, 978-3-642-02379-8 |
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| 100 | 1 | |a Privault, Nicolas, |d 1965- | |
| 245 | 1 | 0 | |a Stochastic analysis in discrete and continuous settings : |b with normal martingales |c by Nicolas Privault. |
| 250 | |a 1st ed. 2009. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Lecture Notes in Mathematics |v 1982 |x 1617-9692 | |
| 500 | |a Description d'après consultation du 30 mars 2012 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a The Discrete Time Case Continuous Time Normal Martingales Gradient and Divergence Operators Annihilation and Creation Operators Analysis on the Wiener Space Analysis on the Poisson Space Local Gradients on the Poisson Space Option Hedging in Continuous Time. | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance. | ||
| 650 | |a Théorie des jeux | ||
| 650 | |a Probabilités | ||
| 650 | |a Mathématiques | ||
| 650 | |a Analyse stochastique | ||
| 650 | |a Martingales (mathématiques) | ||
| 650 | |a Calcul de Malliavin | ||
| 776 | 0 | |0 136537073 |t Stochastic analysis in discrete and continuous settings |o with normal martingales |f Nicolas Privault |d 2009 |c Berlin |n Springer |p 1 vol. (IX-310 p.) |s Lecture notes in mathematics |z 978-3-642-02379-8 | |
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