Discretization of Processes
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 w...
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Serier: | Stochastic Modelling and Applied Probability
67 |
| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Discretization of processes, Jean Jacod, Philip Protter, 2012, Berlin, Springer, 1 vol. (XIV-596 p.), Stochastic modelling and applied probability, 978-3-642-24126-0 |
| LEADER | 04526nam a22004457a 4500 | ||
|---|---|---|---|
| 001 | 958583 | ||
| 008 | 140117q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN175631352 | ||
| 020 | |a 9783642241277 (Edition électronique) | ||
| 041 | 0 | |a eng | |
| 082 | |a 519.2 | ||
| 084 | |a 60F05. 2010 | ||
| 084 | |a 60G44. 2010 | ||
| 084 | |a 60H10. 2010 | ||
| 084 | |a 60H35. 2010 | ||
| 084 | |a 60J75. 2010 | ||
| 100 | 1 | |a Jacod, Jean, |d 1944-...., |c mathématicien. | |
| 245 | 1 | 0 | |a Discretization of Processes |c Jean Jacod [et] Philip Protter. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 1 | |a Stochastic Modelling and Applied Probability |v 67 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a Part I Introduction and Preliminary Material 1.Introduction 2.Some Prerequisites Part II The Basic Results 3.Laws of Large Numbers: the Basic Results 4.Central Limit Theorems: Technical Tools 5.Central Limit Theorems: the Basic Results 6.Integrated Discretization Error Part III More Laws of Large Numbers 7.First Extension: Random Weights 8.Second Extension: Functions of Several Increments 9.Third Extension: Truncated Functionals Part IV Extensions of the Central Limit Theorems 10.The Central Limit Theorem for Random Weights 11.The Central Limit Theorem for Functions of a Finite Number of Increments 12.The Central Limit Theorem for Functions of an Increasing Number of Increments 13.The Central Limit Theorem for Truncated Functionals Part V Various Extensions 14.Irregular Discretization Schemes. 15.Higher Order Limit Theorems 16.Semimartingales Contaminated by Noise Appendix References Assumptions Index of Functionals Index | |
| 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 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. This book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics | ||
| 650 | |a Analyse stochastique | ||
| 650 | |a Probabilités | ||
| 650 | |a Théorème de la limite centrale | ||
| 650 | |a Loi des grands nombres | ||
| 650 | |a Semimartingales (mathématiques) | ||
| 700 | 1 | |a Protter, Philip E., |d 1949-...., |c mathématicien. |4 aut | |
| 776 | 0 | |0 158278321 |t Discretization of processes |f Jean Jacod, Philip Protter |d 2012 |c Berlin |n Springer |p 1 vol. (XIV-596 p.) |s Stochastic modelling and applied probability |z 978-3-642-24126-0 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-642-24127-7 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-J64VLPNC-V |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:749129255 |u https://ezproxy.univ-orleans.fr/login?url=https://doi.org/10.1007/978-3-642-24127-7 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:75213826X |u https://ezproxy.insa-cvl.fr/login?qurl=https://doi.org/10.1007/978-3-642-24127-7 |z Accès INSA CVL | |
| 997 | |0 958583 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||