Optional processes theory and applications / Mohamed Abdelghani and Alexander Melnikov.
| Author/creator | Abdelghani, Mohamed |
| Other author | Mel�£nikov, A. V., 1953- |
| Format | Electronic |
| Edition | First edition. |
| Publication Info | Boca Raton, FL : CRC Press, 2020. |
| Description | pages cm |
| Supplemental Content | Full text available from Taylor & Francis eBooks |
| Subjects |
| Contents | Spaces, laws and limits -- Stochastic processes -- Martingales -- Strong supermartingales -- Optional martingales -- Optional supermartingales decomposition -- Calculus of optional semimartingales -- Optional stochastic equations -- Optional financial markets -- Defaultable markets on unusual space -- Filtering of optional semimartingales. |
| Abstract | "It is well-known that modern stochastic calculus has been exhaustively developed under standard 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 is a book that 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. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism etc"-- Provided by publisher. |
| Bibliography note | Includes bibliographical references and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2020015536 |
| ISBN | 9781138337268 (hardback) |
| ISBN | (ebook) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |