Two-Parameter Martingales and Their Quadratic Variation, Peter Imkeller

Автор: Francis Hirsch; Christophe Profeta; Bernard Roynet
Название: Peacocks and Associated Martingales, with Explicit Constructions
ISBN: 8847025192 ISBN-13(EAN): 9788847025196
Издательство: Springer
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Описание: Some Examples of Peacocks.- The Sheet Method.- The Time Reversal Method.- The Time Inversion Method.- The Sato Process Method.- The Stochastic Differential Equation Method.- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals.

Автор: Revuz, Daniel Yor, Marc
Название: Continuous martingales and brownian motion
ISBN: 3642084001 ISBN-13(EAN): 9783642084003
Издательство: Springer
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Цена: 13969.00 р.
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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: L. C. G. Rogers
Название: Diffusions, Markov Processes and Martingales
ISBN: 0521775930 ISBN-13(EAN): 9780521775939
Издательство: Cambridge Academ
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Цена: 11563.00 р.
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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: L. C. G. Rogers
Название: Diffusions, Markov Processes, and Martingales
ISBN: 0521775949 ISBN-13(EAN): 9780521775946
Издательство: Cambridge Academ
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Цена: 11405.00 р.
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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: Hermann Dinges
Название: Martingales
ISBN: 3540053964 ISBN-13(EAN): 9783540053965
Издательство: Springer
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Цена: 3492.00 р.
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Автор: Norihiko Kazamaki
Название: Continuous Exponential Martingales and BMO
ISBN: 3540580425 ISBN-13(EAN): 9783540580423
Издательство: Springer
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Описание: In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes.

Автор: Hirsch
Название: Peacocks and Associated Martingales, with Explicit Constructions
ISBN: 8847019079 ISBN-13(EAN): 9788847019072
Издательство: Springer
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Цена: 16769.00 р.
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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: Charles A. Hayes; C.Y. Pauc
Название: Derivation and Martingales
ISBN: 3642861822 ISBN-13(EAN): 9783642861826
Издательство: Springer
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Цена: 6986.00 р.
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Автор: Schilling
Название: Measures, Integrals and Martingales
ISBN: 1316620247 ISBN-13(EAN): 9781316620243
Издательство: Cambridge Academ
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Цена: 7445.00 р.
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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: Robert Liptser; A.N. Shiryayev
Название: Theory of Martingales
ISBN: 9401076006 ISBN-13(EAN): 9789401076005
Издательство: Springer
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Цена: 23058.00 р.
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Автор: Le Gall, Jean-francois
Название: Brownian motion, martingales, and stochastic calculus
ISBN: 3319310887 ISBN-13(EAN): 9783319310886
Издательство: Springer
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Цена: 7965.00 р.
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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: Pisier
Название: Martingales in Banach Spaces
ISBN: 1107137241 ISBN-13(EAN): 9781107137240
Издательство: Cambridge Academ
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Цена: 9979.00 р.
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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.