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Optional processes: theory and applications

By: Contributor(s): Material type: TextTextSeries: Chapman and Hall/CRC financial mathematics seriesPublication details: CRC Press 2022 LondonDescription: xiii, 378 p. Includes bibliographical references and indexISBN:
  • 9780367508517
Subject(s): DDC classification:
  • 519.23 A2O7
Summary: It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. https://www.routledge.com/Optional-Processes-Theory-and-Applications/Abdelghani-Melnikov/p/book/9780367508517?_gl=1*1igrvh9*_ga*MTcxNTA5NTQxOS4xNzA5NzA2MjEx*_ga_0HYE8YG0M6*MTcwOTcwNjIxMS4xLjEuMTcwOTcwNjIxNy4wLjAuMA..&_ga=2.127170569.587925691.1709706211-1715095419.1709706211
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Books Vikram Sarabhai Library Rack 28-B / Slot 1402 (0 Floor, East Wing) Non-fiction General Stacks 519.23 A2O7 (Browse shelf(Opens below)) Available 206912

It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications.

Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis.

This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance.


https://www.routledge.com/Optional-Processes-Theory-and-Applications/Abdelghani-Melnikov/p/book/9780367508517?_gl=1*1igrvh9*_ga*MTcxNTA5NTQxOS4xNzA5NzA2MjEx*_ga_0HYE8YG0M6*MTcwOTcwNjIxMS4xLjEuMTcwOTcwNjIxNy4wLjAuMA..&_ga=2.127170569.587925691.1709706211-1715095419.1709706211

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