Optional Processes: Theory and Applications

ISBN-13: 9781138337268 / Angielski / Twarda / 2020 / 392 str.

Mohamed Abdelghani; Alexander Melnikov

Opis

This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties.

Spis treści

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.