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: Paperback / softback
Length: 392 pages
Publication date: 29 April 2022
Publisher: Taylor & Francis Ltd

Optional Processes: Theory and Applications delves into the extensive development of modern stochastic calculus under typical conditions. Despite the well-established theory's prevalence, evidence suggests that these convenient technical conditions may not always be met in real-world applications.

Optional Processes: Theory and Applications aims to explore the existing theory, recent advancements, and applications of optional processes in unconventional probability spaces. The emergence of stochastic calculus of optional processes signifies the initiation of a novel and more comprehensive approach to stochastic analysis.

This book endeavors to offer a user-friendly, comprehensive, and up-to-date exposition of optional processes and their diverse characteristics. Furthermore, the book presents not only the current theory 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 new portfolio theory, defaultable claim pricing mechanism, and more.

In conclusion, Optional Processes: Theory and Applications provides a valuable resource for scholars and practitioners seeking to understand and apply optional processes in diverse fields. With its comprehensive coverage, advanced analytical results, and practical applications, this book offers a valuable contribution to the ongoing development of stochastic analysis and its applications.

Dimension: 235 x 191 (mm)
ISBN-13: 9780367508517