Stochastic processes with jumps and random measures are importance as drivers in applications like financial mathematics and signal processing. This 2002 text develops stochastic integration theory for both integrators (semimartingales) and random measures from a common point of view. Using some novel predictable controlling devices, the author furnishes the theory of stochastic differential equations driven by them, as well as their stability and numerical approximation theories. Highlights feature DCT and Egoroff's Theorem, as well as comprehensive analogs results from ordinary integration theory, for instance previsible envelopes and an algorithm computing stochastic integrals of caglad integrands pathwise. Full proofs are given for all results, and motivation is stressed throughout. A large appendix contains most of the analysis that readers will need as a prerequisite. This will be an invaluable reference for graduate students and researchers in mathematics, physics, electrical engineering and finance who need to use stochastic differential equations.

The complete theory of stochastic differential equations driven by jumps, their stability, and numerical approximation theories.
Reviews
Review of the hardback: 'The material in the book is presented well: it is detailed, motivation is stressed throughout and the text is written with an enjoyable pinch of dry humour.' Evelyn Buckwar, Zentralblatt MATH
Review of the hardback: 'The highlights of the monograph are: Girsanov-Meyer theory on shifted martingales, which covers both the Wiener and Poisson setting; a Doob-Meyer decomposition statement providing really deep information that the objects that can go through the Daniell-like construction of the stochastic. This is an excellent and informative monograph for a general mathematical audience.' EMS



Book Information
ISBN 9780521142144
Author Klaus Bichteler
Format Paperback
Page Count 516
Imprint Cambridge University Press
Publisher Cambridge University Press
Weight(grams) 720g
Dimensions(mm) 234mm * 156mm * 26mm