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Stochastic Integration and Differential Equations

Om Stochastic Integration and Differential Equations

Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).

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  • Språk:
  • Engelsk
  • ISBN:
  • 9783642055607
  • Bindende:
  • Paperback
  • Sider:
  • 415
  • Utgitt:
  • 1. desember 2010
  • Utgave:
  • 22005
  • Dimensjoner:
  • 157x235x23 mm.
  • Vekt:
  • 656 g.
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 20. januar 2025

Beskrivelse av Stochastic Integration and Differential Equations

Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).

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