Semimartingale Theory and Stochastic Calculus
Book Details
Format
Hardback or Cased Book
ISBN-10
0849377153
ISBN-13
9780849377150
Publisher
Taylor & Francis Inc
Imprint
CRC Press Inc
Country of Manufacture
US
Country of Publication
GB
Publication Date
Sep 14th, 1992
Print length
560 Pages
Weight
936 grams
Dimensions
16.70 x 24.80 x 3.30 cms
Product Classification:
Stochastics
Ksh 36,000.00
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Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus
Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics.
Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.
Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.
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