Mohamed Abdelghani,Alexander Melnikov
Optional Processes: Theory and Applications
Optional Processes: Theory and Applications
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Excellent- More about Optional Processes: Theory and Applications
Optional Processes: Theory and Applications explores the theory, new developments, and applications of optional processes on unusual probability spaces, marking the beginning of a new and general form of stochastic analysis. It provides an accessible and comprehensive exposition of optional processes with numerous applications to stochastic differential equations, filtering theory, and mathematical finance.
Format: Hardback
Length: 378 pages
Publication date: 08 July 2020
Publisher: Taylor & Francis Ltd
It is widely acknowledged that the modern field of stochastic calculus has undergone extensive development under typical conditions. Despite the existence of such a well-established theory, there is compelling evidence to suggest that these seemingly convenient technical prerequisites may not necessarily be met in real-world applications.
Optional Processes: Theory and Applications endeavors to explore the current theory, emerging advancements, and diverse applications of optional processes in unconventional probability spaces. The emergence of stochastic calculus of optional processes signifies the dawn of a novel and more comprehensive branch of stochastic analysis.
This book serves as a readily accessible, comprehensive, and timely exposition of optional processes and their myriad characteristics. Moreover, the book presents not only the current theoretical framework of optional processes but also encompasses a wide range of applications to stochastic differential equations, filtering theory, and mathematical finance.
Key Features:
Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics, and related fields.
Compiles nearly all essential results on the calculus of optional processes in unusual probability spaces.
Contains numerous advanced analytical results for stochastic differential equations and statistics related to the calculus of optional processes.
Develops new methods in finance based on optional processes, such as a novel portfolio theory, defaultable claim pricing mechanism, and more.
Weight: 896g
Dimension: 198 x 243 x 30 (mm)
ISBN-13: 9781138337268
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