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Optional Processes Theory and Applications

Aus der Reihe Chapman and Hall/CRC Financial Mathematics Series

69,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

29.04.2022

Verlag

Taylor & Francis

Seitenzahl

394

Maße (L/B/H)

23,5/19,1/2,1 cm

Gewicht

733 g

Sprache

Englisch

ISBN

978-0-367-50851-7

Beschreibung

Rezension

"Modern stochastics is usually identified with stochastic analysis, a field in mathematics that is well-developed under "usual conditions". Hence, a variety of results of this theory and its applications are also restricted by these technical conditions. Many examples from theory and applications call for further extensions of stochastic analysis. Optional Processes: Theory and Applications is first attempt of such natural extension.

The authors provide an excellent treatment of papers written in the 1970s and 1980s by Dellacherie, Doob, Galtchouk, Lepingle, and Lenglart among others. Moreover, the authors develop this topic in a comprehensive manner, and while doing so offer beautiful applications to the fields of mathematical finance and filtering theory. This book will be extremely useful for experts in the area of stochastic analysis, mathematical finance, and related fields."

-Svetlozar Rachev, Texas Tech University

"The usual analysis of stochastic processes in continuous time is developed in a framework of a filtered probability space satisfying the 'usual conditions'. That is, the flow of information modeled by the filtration is assumed to be right continuous. Situations arise where this condition is not satisfied. This important book develops a theory of stochastic processes where 'unusual conditions' are assumed to hold. These have applications in quantitative finance and elsewhere."

-Robert J. Elliott, Faculty Professor and Emeritus Professor at University of Calgary and Research Professor at University of South Australia

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

29.04.2022

Verlag

Taylor & Francis

Seitenzahl

394

Maße (L/B/H)

23,5/19,1/2,1 cm

Gewicht

733 g

Sprache

Englisch

ISBN

978-0-367-50851-7

EU-Ansprechpartner

Taylor & Francis Verlag GmbH
Kaufingerstraße 24
80331 München
DE
GPSR@taylorandfrancis.com

Herstelleradresse

Taylor & Francis Group
5 Howick Place
SW1P 1WG London
UK
GPSR@taylorandfrancis.com

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  • Produktbild: Optional Processes
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  • 1. Spaces, Laws and Limits.  2. Stochastic Processes.  3. Martingales.  4. Strong Supermartingales.  5. Optional Martingales.  6. Optional Supermartingales Decomposition.  7. Calculus of Optional Semimartingales.  8. Optional Stochastic Equations.  9. Optional Financial Markets.  10. Defaultable Markets on Unusual Space.  11. Filtering of Optional Semimartingales. Bibliography.  Index.