Stochastic Analysis in Discrete and Continuous Settings (eBook, PDF)

Stochastic Analysis in Discrete and Continuous Settings (eBook, PDF)

With Normal Martingales

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This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration ...

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