Stochastic analysis in discrete and continuous settings: with normal martingales
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2009
|
| Series: | Lecture notes in mathematics
1982 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 310 S. |
| ISBN: | 9783642023798 |
Staff View
MARC
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| 245 | 1 | 0 | |a Stochastic analysis in discrete and continuous settings |b with normal martingales |c Nicolas Privault |
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| 490 | 1 | |a Lecture notes in mathematics |v 1982 | |
| 650 | 4 | |a Analyse stochastique | |
| 650 | 4 | |a Espace et temps | |
| 650 | 4 | |a Martingales (Mathématiques) | |
| 650 | 4 | |a Martingales (Mathematics) | |
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Record in the Search Index
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| adam_text | CONTENTS INTRODUCTION 1 1 THE DISCRETE TIME CASE 7 1.1 NORMAL
MARTINGALES 7 1.2 STOCHASTIC INTEGRALS 8 1.3 MULTIPLE STOCHASTIC
INTEGRALS 11 1.4 STRUCTURE EQUATIONS 13 1.5 CHAOS REPRESENTATION 15 1.6
GRADIENT OPERATOR 18 1.7 CLARK FORMULA AND PREDICTABLE REPRESENTATION 22
1.8 DIVERGENCE OPERATOR 24 1.9 ORNSTEIN-UHLENBECK SEMI-GROUP AND PROCESS
28 1.10 COVARIANCE IDENTITIES 32 1.11 DEVIATION INEQUALITIES 36 1.12
LOGARITHMIC SOBOLEV INEQUALITIES 42 1.13 CHANGE OF VARIABLE FORMULA 49
1.14 OPTION HEDGING 53 1.15 NOTES AND REFERENCES 58 2 CONTINUOUS TIME
NORMAL MARTINGALES 59 2.1 NORMAL MARTINGALES 59 2.2 BROWNIAN MOTION 60
2.3 COMPENSATED POISSON MARTINGALE 63 2.4 COMPOUND POISSON MARTINGALE 71
2.5 STOCHASTIC INTEGRALS 74 2.6 PREDICTABLE REPRESENTATION PROPERTY 84
2.7 MULTIPLE STOCHASTIC INTEGRALS 86 2.8 CHAOS REPRESENTATION PROPERTY
89 2.9 QUADRATIC VARIATION 90 2.10 STRUCTURE EQUATIONS 93 2.11 PRODUCT
FORMULA FOR STOCHASTIC INTEGRALS 96 2.12 ITO FORMULA 102 2.13
EXPONENTIAL VECTORS 107 BIBLIOGRAFISCHE INFORMATIONEN
HTTP://D-NB.INFO/994283199 DIGITALISIERT DURCH 11 CONTENTS 2.14
VECTOR-VALUED CASE 109 2.15 NOTES AND REFERENCES ILL GRADIENT AND
DIVERGENCE OPERATORS 113 3.1 DEFINITION AND CLOSABILITY 113 3.2 CLARK
FORMULA AND PREDICTABLE REPRESENTATION 114 3.3 DIVERGENCE AND STOCHASTIC
INTEGRALS 119 3.4 COVARIANCE IDENTITIES 121 3.5 LOGARITHMIC SOBOLEV
INEQUALITIES 123 3.6 DEVIATION INEQUALITIES 125 3.7 MARKOVIAN
REPRESENTATION 127 3.8 NOTES AND REFERENCES 130 ANNIHILATION AND
CREATION OPERATORS 131 4.1 DUALITY RELATION 131 4.2 ANNIHILATION
OPERATOR 134 4.3 CREATION OPERATOR 138 4.4 ORNSTEIN-UHLENBECK SEMI-GROUP
144 4.5 DETERMINISTIC STRUCTURE EQUATIONS 146 4.6 EXPONENTIAL VECTORS
151 4.7 DEVIATION INEQUALITIES 154 4.8 DERIVATION OF FOCK KERNELS 158
4.9 NOTES AND REFERENCES 160 ANALYSIS ON THE WIENER SPACE 161 5.1
MULTIPLE WIENER INTEGRALS 161 5.2 GRADIENT AND DIVERGENCE OPERATORS 166
5.3 ORNSTEIN-UHLENBECK SEMI-GROUP 171 5.4 COVARIANCE IDENTITIES AND
INEQUALITIES 173 5.5 MOMENT IDENTITIES FOR SKOROHOD INTEGRALS 177 5.6
DIFFERENTIAL CALCULUS ON RANDOM MORPHISMS 180 5.7 RIEMANNIAN BROWNIAN
MOTION 186 5.8 TIME CHANGES ON BROWNIAN MOTION 192 5.9 NOTES AND
REFERENCES 194 ANALYSIS ON THE POISSON SPACE 195 6. CONTENTS IX 6.9
DEVIATION INEQUALITIES 241 6.10 NOTES AND REFERENCES 245 7 LOCAL
GRADIENTS ON THE POISSON SPACE 247 7.1 INTRINSIC GRADIENT ON
CONFIGURATION SPACES 247 7.2 DAMPED GRADIENT ON THE HALF LINE 255 7.3
DAMPED GRADIENT ON A COMPACT INTERVAL 263 7.4 CHAOS EXPANSIONS 267 7.5
COVARIANCE IDENTITIES AND DEVIATION INEQUALITIES 270 7.6 SOME GEOMETRIC
ASPECTS OF POISSON ANALYSIS 272 7.7 CHAOS INTERPRETATION OF TIME CHANGES
277 7.8 NOTES AND REFERENCES 280 8 OPTION HEDGING IN CONTINUOUS TIME 281
8.1 MARKET MODEL 281 8.2 HEDGING BY THE CLARK FORMULA 284 8.3
BLACK-SCHOLES PDE 288 8.4 ASIAN OPTIONS AND DETERMINISTIC STRUCTURE 290
8.5 NOTES AND REFERENCES 293 9 APPENDIX 295 9.1 MEASURABILITY 295 9.2
GAUSSIAN RANDOM VARIABLES 295 9.3 CONDITIONAL EXPECTATION 296 9.4
MARTINGALES IN DISCRETE TIME 296 9.5 MARTINGALES IN CONTINUOUS TIME 297
9.6 MARKOV PROCESSES 298 9.7 TENSOR PRODUCTS OF L? SPACES 299 9.8
CLOSABILITY OF LINEAR OPERATORS 300 REFERENCES 301 INDEX 309
|
| any_adam_object | 1 |
| author | Privault, Nicolas |
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| building | Verbundindex |
| bvnumber | BV035733874 |
| callnumber-first | Q - Science |
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| ctrlnum | (OCoLC)401151192 (DE-599)DNB994283199 |
| dewey-full | 519.22 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.22 |
| dewey-search | 519.22 |
| dewey-sort | 3519.22 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Book |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T21:53:16Z |
| institution | BVB |
| isbn | 9783642023798 |
| language | English |
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| physical | IX, 310 S. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in mathematics |
| series2 | Lecture notes in mathematics |
| spelling | Privault, Nicolas Verfasser (DE-588)1032387327 aut Stochastic analysis in discrete and continuous settings with normal martingales Nicolas Privault Berlin [u.a.] Springer 2009 IX, 310 S. txt rdacontent n rdamedia nc rdacarrier Lecture notes in mathematics 1982 Analyse stochastique Espace et temps Martingales (Mathématiques) Martingales (Mathematics) Space and time Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 s DE-604 Lecture notes in mathematics 1982 (DE-604)BV000676446 1982 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018010415&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Privault, Nicolas Stochastic analysis in discrete and continuous settings with normal martingales Lecture notes in mathematics Analyse stochastique Espace et temps Martingales (Mathématiques) Martingales (Mathematics) Space and time Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd |
| subject_GND | (DE-588)4132272-1 |
| title | Stochastic analysis in discrete and continuous settings with normal martingales |
| title_auth | Stochastic analysis in discrete and continuous settings with normal martingales |
| title_exact_search | Stochastic analysis in discrete and continuous settings with normal martingales |
| title_full | Stochastic analysis in discrete and continuous settings with normal martingales Nicolas Privault |
| title_fullStr | Stochastic analysis in discrete and continuous settings with normal martingales Nicolas Privault |
| title_full_unstemmed | Stochastic analysis in discrete and continuous settings with normal martingales Nicolas Privault |
| title_short | Stochastic analysis in discrete and continuous settings |
| title_sort | stochastic analysis in discrete and continuous settings with normal martingales |
| title_sub | with normal martingales |
| topic | Analyse stochastique Espace et temps Martingales (Mathématiques) Martingales (Mathematics) Space and time Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd |
| topic_facet | Analyse stochastique Espace et temps Martingales (Mathématiques) Martingales (Mathematics) Space and time Stochastic analysis Stochastische Analysis |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018010415&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000676446 |
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