Random walk, brownian motion, and martingales, Bhattacharya, Rabi Waymire, Edward C.

Автор: Revuz, Daniel Yor, Marc
Название: Continuous martingales and brownian motion
ISBN: 3642084001 ISBN-13(EAN): 9783642084003
Издательство: Springer
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Цена: 93130.00 T
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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: Le Gall, Jean-francois
Название: Brownian motion, martingales, and stochastic calculus
ISBN: 3319310887 ISBN-13(EAN): 9783319310886
Издательство: Springer
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Цена: 53100.00 T
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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: Le Gall Jean-Franзois
Название: Brownian Motion, Martingales, and Stochastic Calculus
ISBN: 331980961X ISBN-13(EAN): 9783319809618
Издательство: Springer
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Цена: 53100.00 T
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Описание: Gaussian variables and Gaussian processes.- Brownian motion.- Filtrations and martingales.- Continuous semimartingales.- Stochastic integration.- General theory of Markov processes.- Brownian motion and partial differential equations.- Stochastic differential equations.- Local times.- The monotone class lemma.- Discrete martingales.- References.

Автор: Karatzas
Название: Brownian Motion and Stochastic Calculus
ISBN: 0387976558 ISBN-13(EAN): 9780387976556
Издательство: Springer
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Цена: 46540.00 T
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Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

Автор: Pisier
Название: Martingales in Banach Spaces
ISBN: 1107137241 ISBN-13(EAN): 9781107137240
Издательство: Cambridge Academ
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Цена: 66530.00 T
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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: Hirsch
Название: Peacocks and Associated Martingales, with Explicit Constructions
ISBN: 8847019079 ISBN-13(EAN): 9788847019072
Издательство: Springer
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Цена: 111790.00 T
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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: Hytцnen Tuomas, Van Neerven Jan, Veraar Mark
Название: Analysis in Banach Spaces: Volume I: Martingales and Littlewood-Paley Theory
ISBN: 3319839616 ISBN-13(EAN): 9783319839615
Издательство: Springer
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Цена: 167700.00 T
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Описание: The present volume develops the theory of integration in Banach spaces, martingales and UMD spaces, and culminates in a treatment of the Hilbert transform, Littlewood-Paley theory and the vector-valued Mihlin multiplier theorem.

Автор: Pablo Shmerkin, Ville Suomala
Название: Spatially Independent Martingales, Intersections, and Applications
ISBN: 1470426889 ISBN-13(EAN): 9781470426880
Издательство: Mare Nostrum (Eurospan)
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Цена: 77610.00 T
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Описание: The authors define a class of random measures, spatially independent martingales, which we view as a natural generalization of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian cut-outs. The authors pair the random measures with deterministic families of parametrized measures $\{\eta_t\}_t$.

Автор: Baldi, Paolo
Название: Martingales and Markov Chains
ISBN: 1138460338 ISBN-13(EAN): 9781138460331
Издательство: Taylor&Francis
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Цена: 178640.00 T
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Описание: This is the first major reconstruction of this new world of plants in sixteenth-century Tuscany. Focusing primarily on the medical use of plants, this book also shows how plants, while maintaining their importance in therapy, began to be considered and studied for themselves, and how this new understanding prepared the groundwork for the science of

Автор: Norihiko Kazamaki
Название: Continuous Exponential Martingales and BMO
ISBN: 3540580425 ISBN-13(EAN): 9783540580423
Издательство: Springer
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Цена: 23250.00 T
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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: Schilling
Название: Measures, Integrals and Martingales
ISBN: 1316620247 ISBN-13(EAN): 9781316620243
Издательство: Cambridge Academ
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Цена: 49630.00 T
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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.