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    STOCHASTIC INTEGRATION WITH JUMPS
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    53290

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    Sinopse

    Stochastic processes with jumps and random measures are importance as drivers in applications like financial mathematics and signal processing. This 2002 text develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations driven by them, as well as their stability and numerical approximation theories. Highlights feature DCT and Egoroff's Theorem, as well as comprehensive analogs results from ordinary integration theory, for instance previsible envelopes and an algorithm computing stochastic integrals of càglàd integrands pathwise. Full proofs are given for all results, and motivation is stressed throughout. A large appendix contains most of the analysis that readers will need as a prerequisite. This will be an invaluable reference for graduate students and researchers in mathematics, physics, electrical engineering and finance who need to use stochastic differential equations.
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    Especificações

    ISBN9780521811293
    Peso572g
    Livro disponível - pronta entregaNão
    Tipo itemLivro Importado
    Número de páginas512
    Número da edição1ª EDIÇÃO - 2002
    Código Interno53290
    Código de barras9780521811293
    AcabamentoHARDCOVER
    AutorBICHTELER, KLAUS
    EditoraCAMBRIDGE UNIVERSITY PRESS
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