Two-Parameter Martingales and Their Quadratic Variation / by Peter Imkeller.

Format:

Book

Author/Creator:

Imkeller, Peter, 1951- author.

Contributor:

SpringerLink (Online service)

Series:

Lecture Notes in Mathematics, 0075-8434 ; 1308.

Lecture Notes in Mathematics, 0075-8434 ; 1308

Language:

English

Subjects (All):

Distribution (Probability theory).

Probability Theory and Stochastic Processes.

Local Subjects:

Probability Theory and Stochastic Processes.

Physical Description:

1 online resource (IV, 177 pages).

Contained In:

Springer eBooks

Place of Publication:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1988.

System Details:

text file PDF

Summary:

This book has two-fold aims. In a first part it gives an introductory, thorough and essentially self-contained treatment of the general theory of two-parameter processes that has developed since around 1975. Apart from two survey papers by Merzbach and Meyer it is the first text of this kind. The second part presents the results of recent research by the author on martingale theory and stochastic calculus for two-parameter processes. Both the results and the methods of these two chapters are almost entirely new, and are of particular interest. They provide the fundamentals of a general stochastic analysis of two-parameter processes including, in particular, so far inaccessible jump phenomena. The typical rader is assumed to have some basic knowledge of the general theory of one-parameter martingales. The book should be accessible to probabilistically interested mathematicians who a) wish to become acquainted with or have a complete treatment of the main features of the general theory of two-parameter processes and basics of their stochastic calculus, b) intend to learn about the most recent developments in this area.

Contents:

Notations and conventions

Basics; processes depending on a parameter

Two-parameter processes

Jumps of martingales and their compensation

Quadratic variation and structure of martingales.

Other Format:

Printed edition:

ISBN:

9783540391487

Access Restriction:

Restricted for use by site license.