Stochastic Analysis in Discrete and Continuous Settings With Normal Martingales /

• Main Author: Privault, Nicolas (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Lecture Notes in Mathematics, 1982
• Subjects: Mathematics.; Game theory.; Mathematical models.; Probabilities.; Probability Theory and Stochastic Processes.; Mathematical Modeling and Industrial Mathematics.; Game Theory, Economics, Social and Behav. Sciences.

This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The si...

Table of Contents:

• 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.