Stochastic Analysis in Discrete and Continuous Settings With Normal Martingales /

• Main Author: Privault, Nicolas. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Lecture Notes in Mathematics, 1982
• Subjects: Mathematics.; Distribution (Probability theory).; Probability Theory and Stochastic Processes.; Game Theory, Economics, Social and Behav. Sciences.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-02380-4

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 si...

Table of Contents:

• 1 The Discrete Time Case
• 2 Continuous Time Normal Martingales
• 3 Gradient and Divergence Operators
• 4 Annihilation and creation operators
• 5 Analysis on the Wiener Space
• 6 Analysis on the Poisson space
• 7 Local Gradients on the Poisson space
• 8 Option Hedging in Continuous Time .