"This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importanc…
La 4e de couverture indique : Considering Poisson random measures as the driving sources for stochastic (partial) differential equations allows us to incorporate jumps and to model sudden, unexpected phenomena. By using such equations the present book introduces a new method for…
Considering Poisson random measures as the driving sources for stochastic (partial) differential equations allows us to incorporate jumps and to model sudden, unexpected phenomena. By using such equations the present book introduces a new method for modeling the states of comple…
Stochastic Calculus and Stochastic Models.
Stochastic integration
by Métivier, Michel, Pellaumail, Jean
fromProbability and mathematical statistics
Stochastic integration
by Métivier, Michel, Pellaumail, Jean
fromProbability and mathematical statistics
Stochastic integration
by Métivier, Michel, Pellaumail, Jean
fromProbability and mathematical statistics
Stochastic integration
by Métivier, Michel, Pellaumail, Jean
fromProbability and mathematical statistics
Le mouvement brownien est l'objet central du calcul des probabilités modernes : il est à la fois une martingale, un processus gaussien, un processus à accroissements indépendants et un processus de Markov. Présentation de ses propriétés avec les deux outils qu'il permet de dével…
