Martingales and Stochastic Integrals I, Paul-Andre Meyer

Автор: Schilling
Название: Measures, Integrals and Martingales
ISBN: 1316620247 ISBN-13(EAN): 9781316620243
Издательство: Cambridge Academ
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Описание: Measure and integration are key topics in many areas of mathematics, including analysis, probability, mathematical physics and finance. This book offers a concise yet elementary introduction in which the theory is quickly and simply developed. Few prerequisites are required, making the text suitable for undergraduate lecture courses or self-study.

Автор: Le Gall, Jean-francois
Название: Brownian motion, martingales, and stochastic calculus
ISBN: 3319310887 ISBN-13(EAN): 9783319310886
Издательство: Springer
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Описание: This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales.

Автор: Hirsch
Название: Peacocks and Associated Martingales, with Explicit Constructions
ISBN: 8847019079 ISBN-13(EAN): 9788847019072
Издательство: Springer
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Описание: We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.

Автор: Pisier
Название: Martingales in Banach Spaces
ISBN: 1107137241 ISBN-13(EAN): 9781107137240
Издательство: Cambridge Academ
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Описание: Martingales arise in many areas of probability theory. This book focuses on their applications to the geometry of Banach spaces and discusses the interplay of Banach space valued martingales with various other areas of analysis. It is accessible to graduates with a basic knowledge of real and complex analysis.

Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes, and Martingales
ISBN: 0521775949 ISBN-13(EAN): 9780521775946
Издательство: Cambridge Academ
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Описание: Now available in paperback, this celebrated book has been prepared with readers` needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. Together with its companion volume, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

Автор: Charles A. Hayes; C.Y. Pauc
Название: Derivation and Martingales
ISBN: 3642861822 ISBN-13(EAN): 9783642861826
Издательство: Springer
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Автор: Peter Imkeller
Название: Two-Parameter Martingales and Their Quadratic Variation
ISBN: 3540192336 ISBN-13(EAN): 9783540192336
Издательство: Springer
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Автор: Hermann Dinges
Название: Martingales
ISBN: 3540053964 ISBN-13(EAN): 9783540053965
Издательство: Springer
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Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes and Martingales
ISBN: 0521775930 ISBN-13(EAN): 9780521775939
Издательство: Cambridge Academ
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Описание: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

Автор: Revuz, Daniel Yor, Marc
Название: Continuous martingales and brownian motion
ISBN: 3642084001 ISBN-13(EAN): 9783642084003
Издательство: Springer
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Описание: From the reviews: "This is a magnificent book Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..."
Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.

Автор: Robert Liptser; A.N. Shiryayev
Название: Theory of Martingales
ISBN: 9401076006 ISBN-13(EAN): 9789401076005
Издательство: Springer
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Автор: Nahin, Paul J.
Название: Inside Interesting Integrals
ISBN: 1493912763 ISBN-13(EAN): 9781493912766
Издательство: Springer
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Описание: What`s the point of calculating definite integrals since you can`t possibly do them all?.What makes doing the specific integrals in this book of value aren`t the specific answers we`ll obtain, but rather the methods we`ll use in obtaining those answers;