books
stochastic analysis in discrete and continuous settings with normal martingales
p this volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes in both discrete and continuous time . it is mostly self contained and accessible to graduate students and researchers having already received a basic training in probability . the simultaneous treatment of continuous and jump processes is done in the framework of normal martingales ; that includes the brownian motion and compensated poisson processes as specific cases . in particular the basic tools of stochastic analysis chaos representation gradient divergence integration by parts are presented in this general setting . applications are given to functional and deviation inequalities and mathematical finance .
paperback springer verlag 2009 isbn13 9783642023798 isbn10 3642023797
book type nf isbn 13 9783642023798 number of pages 310 publisher springer verlag