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Semimartingale Theory and Stochastic Calculus

Semimartingale Theory and Stochastic Calculus

by He/Wang/yan
Hardback
Publication Date: 14/09/1992

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Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics.

Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.
ISBN:
9780849377150
9780849377150
Category:
Stochastics
Format:
Hardback
Publication Date:
14-09-1992
Language:
English
Publisher:
Taylor & Francis Inc
Country of origin:
United States
Edition:
1st Edition
Pages:
560
Dimensions (mm):
234x156x31mm
Weight:
0.95kg

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