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Optional processes : theory and applications /

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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:...

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Bibliographic Details
Main Authors: Abdelghani, Mohamed (Author), Melʹnikov, A. V., 1953- (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton, FL : CRC Press, Taylor and Francis Group, 2020.
Edition:First edition.
Series:Chapman & Hall/CRC financial mathematics series
Subjects:
Stochastic processes.
Stochastic analysis.
Calculus.
BUSINESS & ECONOMICS / Finance
MATHEMATICS / General
MATHEMATICS / Probability & Statistics / General
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1. Spaces, Laws and Limits. 2. Stochastic Processes. 3. Martingales. 4. Strong Supermartingales. 5. Optional Martingales. 6. Optional Supermartingales Decomposition. 7. Calculus of Optional Semimartingales. 8. Optional Stochastic Equations. 9. Optional Financial Markets. 10. Defaultable Markets on Unusual Space. 11. Filtering of Optional Semimartingales. Bibliography. Index.