Discretization of Processes

• Main Authors: Jacod, Jean (Author), Protter, Philip (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2012.
• Series: Stochastic Modelling and Applied Probability, 67
• Subjects: Mathematics.; Probabilities.; Statistics.; Econometrics.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.

In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data.  As statisticians are w...