Semimartingales : : A Course on Stochastic Processes / / Michel Métivier.
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| Superior document: | Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package |
|---|---|
| VerfasserIn: | |
| Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2011] ©1982 |
| Year of Publication: | 2011 |
| Language: | English |
| Series: | De Gruyter Studies in Mathematics ,
2 |
| Online Access: | |
| Physical Description: | 1 online resource (287 p.) :; Num. figs. |
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Table of Contents:
- Frontmatter
- Preface
- Part 1: Martingales - Quasimartingales - Semimartingales
- Chapter 1: Basic notions on stochastic processes
- Chapter 2: Martingales and quasimartingales - Basic inequalities and convergence theorem - Application to stochastic algorithms
- Chapter 3: Quasimartingales from class [L. D] - Predictable and dual predictable projection of processes
- Chapter 4: Square integrable martingales and semimartingales
- Part II: Stochastic Calculus
- Chapter 5: Stochastic integral with respect to semimartingales and the transformation formula
- Chapter 6: First applications of the transformation theorem
- Chapter 7: Random measures and local characteristics of a semimartingale
- Chapter 8: Stochastic differential equations
- Bibliography
- Index of notation
- Index
- Backmatter