Semimartingale Theory and Stochastic Calculus
Publisher: CRC
Published: September 14, 1992
Language: eng
Format: Hardcover
Number of pages: 400
ISBN-13: 9780849377150
Subjects: Stochastics; Stochastic Processes; Mathematics; Science/Mathematics; Stochastic analysis; Probability & Statistics - Bayesian Analysis; Mathematics / Probability & Statistics / Bayesian Analysis; Semimartingales
First sentence: Readers are assumed to be familiar with the fundamentals of measure theory and probability theory in Loeve or Neveu, such as measure extension theorem, Radon-Nikodym theorem, dominated convergence theorem, Fatou's lemma, Lp-space, Holder's inequality, conditional mathematical expectation, Jensen's inequality, conditional independence, product probability space and Fubini's theorem.