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Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus

By: Jorg-Uwe Lobus (Author)

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Ksh 17,800.00

Format: Paperback or Softback

ISBN-13: 9781470426033

Publisher: American Mathematical Society

Publication Date: Oct 30th, 2017

Category: Stochastics

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The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A?A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process.

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