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Absolute Continuity Under Time Shift of Trajectories and Related Stochastic Calculus

Jorg-Uwe Lobus (author)

ISBN: 9781470426033

Publication Date: Oct 2017

Format: Paperback

The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A?A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process.
£71.50

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The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A?A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process.
Pages 135
Dimensions 254 x 178
Date Published 30 Oct 2017
Publisher American Mathematical Society
Series Memoirs of the American Mathematical Society
Series Part Volume: 249 Number: 1185
Subject/s Probability & statistics  
  • Introduction, Basic objects, and main result
  • Flows and logarithmic derivative relative to $X$ under orthogonal projection
  • The density formula
  • Partial integration
  • Relative compactness of particle systems
  • Appendix A. Basic Malliavin calculus for Brownian motion with random initial data
  • References
  • Index.
Jorg-Uwe Lobus, Linkopings Universitet, Sweden.

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