Stochastic analysis in discrete and continuous settings : with normal martingales
著者
書誌事項
Stochastic analysis in discrete and continuous settings : with normal martingales
（Lecture notes in mathematics, 1982）
Springer, c2009
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注記
Bibliography: p. 301-307
Includes index
内容説明・目次
内容説明
This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.
目次
The Discrete Time Case.- Continuous Time Normal Martingales.- Gradient and Divergence Operators.- Annihilation and Creation Operators.- Analysis on the Wiener Space.- Analysis on the Poisson Space.- Local Gradients on the Poisson Space.- Option Hedging in Continuous Time.
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