A Note On The Uniform Integrability Of Continuous Exponential Martingales
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A Note On The Uniform Integrability Of Continuous Exponential Martingales
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Author : Friedrich Liese
language : de
Publisher:
Release Date : 1984
A Note On The Uniform Integrability Of Continuous Exponential Martingales written by Friedrich Liese and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.
Continuous Exponential Martingales And Bmo
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Author : Norihiko Kazamaki
language : en
Publisher: Springer
Release Date : 2006-11-15
Continuous Exponential Martingales And Bmo written by Norihiko Kazamaki and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-15 with Mathematics categories.
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. The second and principal aim is to provide a full report on the exciting results on BMO in the theory of exponential martingales. The reader is assumed to be familiar with the general theory of continuous martingales.
Continuous Martingales And Brownian Motion
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Author : Daniel Revuz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Continuous Martingales And Brownian Motion written by Daniel Revuz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
"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....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." –BULLETIN OF THE L.M.S.
Stochastic Integration And Generalized Martingales
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Author : A. U. Kussmaul
language : en
Publisher: Pitman Publishing
Release Date : 1977
Stochastic Integration And Generalized Martingales written by A. U. Kussmaul and has been published by Pitman Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Mathematics categories.
Counterexamples In Probability
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Author : Jordan M. Stoyanov
language : en
Publisher: Courier Corporation
Release Date : 2014-01-15
Counterexamples In Probability written by Jordan M. Stoyanov and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-15 with Mathematics categories.
"While most mathematical examples illustrate the truth of a statement, counterexamples demonstrate a statement's falsity. Enjoyable topics of study, counterexamples are valuable tools for teaching and learning. The definitive book on the subject in regards to probability, this third edition features the author's revisions and corrections plus a substantial new appendix. 2013 edition"--
Optimal Control And Partial Differential Equations
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Author : José Luis Menaldi
language : en
Publisher: IOS Press
Release Date : 2001
Optimal Control And Partial Differential Equations written by José Luis Menaldi and has been published by IOS Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.
This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.
Probability Theory Subject Indexes From Mathematical Reviews
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Author : American Mathematical Society
language : en
Publisher:
Release Date : 1987
Probability Theory Subject Indexes From Mathematical Reviews written by American Mathematical Society and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Mathematics categories.
An Index
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Author : A. V. Balakrishnan M. Thoma
language : en
Publisher: Springer
Release Date : 2013-11-21
An Index written by A. V. Balakrishnan M. Thoma and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-21 with Science categories.
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Author : Tsuruichi Hayashi
language : en
Publisher:
Release Date : 1983
written by Tsuruichi Hayashi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Mathematics categories.
Brownian Motion Martingales And Stochastic Calculus
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Author : Jean-François Le Gall
language : en
Publisher: Springer
Release Date : 2016-04-28
Brownian Motion Martingales And Stochastic Calculus written by Jean-François Le Gall and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-28 with Mathematics categories.
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.