Semimartingales

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Semimartingales

Michel Métivier
Semimartingales Book PDF

Author : Michel Métivier
Publisher : Walter de Gruyter
Page : 305 pages
File Size : 52,9 Mb
Release : 2011-06-01
Category : Mathematics
ISBN : 9783110845563

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Semimartingales by Michel Métivier Pdf

The series is devoted to the publication of monographs and high-level textbooks in mathematics, mathematical methods and their applications. Apart from covering important areas of current interest, a major aim is to make topics of an interdisciplinary nature accessible to the non-specialist. The works in this series are addressed to advanced students and researchers in mathematics and theoretical physics. In addition, it can serve as a guide for lectures and seminars on a graduate level. The series de Gruyter Studies in Mathematics was founded ca. 30 years ago by the late Professor Heinz Bauer and Professor Peter Gabriel with the aim to establish a series of monographs and textbooks of high standard, written by scholars with an international reputation presenting current fields of research in pure and applied mathematics. While the editorial board of the Studies has changed with the years, the aspirations of the Studies are unchanged. In times of rapid growth of mathematical knowledge carefully written monographs and textbooks written by experts are needed more than ever, not least to pave the way for the next generation of mathematicians. In this sense the editorial board and the publisher of the Studies are devoted to continue the Studies as a service to the mathematical community. Please submit any book proposals to Niels Jacob.

Semimartingales and their Statistical Inference

B.L.S. Prakasa Rao
Semimartingales and their Statistical Inference Book PDF

Author : B.L.S. Prakasa Rao
Publisher : Routledge
Page : 247 pages
File Size : 54,5 Mb
Release : 2019-01-15
Category : Mathematics
ISBN : 9781351416924

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Semimartingales and their Statistical Inference by B.L.S. Prakasa Rao Pdf

Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability. The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales. Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include: Asymptotic likelihood theory Quasi-likelihood Likelihood and efficiency Inference for counting processes Inference for semimartingale regression models The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.

Semimartingale Theory and Stochastic Calculus

Sheng-Wu He,Jia-Gang Wang,Jia-an Yan
Semimartingale Theory and Stochastic Calculus Book PDF

Author : Sheng-Wu He,Jia-Gang Wang,Jia-an Yan
Publisher : Routledge
Page : 561 pages
File Size : 54,5 Mb
Release : 2019-07-09
Category : Mathematics
ISBN : 9781351416962

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Semimartingale Theory and Stochastic Calculus by Sheng-Wu He,Jia-Gang Wang,Jia-an Yan Pdf

Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.

Probability Theory III

Alʹbert Nikolaevich Shiri︠a︡ev
Probability Theory III Book PDF

Author : Alʹbert Nikolaevich Shiri︠a︡ev
Publisher : Springer Science & Business Media
Page : 272 pages
File Size : 51,5 Mb
Release : 1998
Category : Business & Economics
ISBN : 3540546871

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Probability Theory III by Alʹbert Nikolaevich Shiri︠a︡ev Pdf

This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the field. The book addresses graduate students and researchers in probability theory and mathematical statistics, as well as physicists and engineers who need to apply stochastic methods.

Ecole d'Ete de Probabilites de Saint-Flour XXVIII, 1998

M. Emery,Arkadiĭ Semenovich Nemirovskiĭ,Dan V. Voiculescu,D. Voiculescu
Ecole d Ete de Probabilites de Saint Flour XXVIII 1998 Book PDF

Author : M. Emery,Arkadiĭ Semenovich Nemirovskiĭ,Dan V. Voiculescu,D. Voiculescu
Publisher : Springer Science & Business Media
Page : 376 pages
File Size : 42,5 Mb
Release : 2000-06-26
Category : Mathematics
ISBN : 3540677364

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Ecole d'Ete de Probabilites de Saint-Flour XXVIII, 1998 by M. Emery,Arkadiĭ Semenovich Nemirovskiĭ,Dan V. Voiculescu,D. Voiculescu Pdf

MSC 2000: 46L10, 46L53

Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus

L. C. G. Rogers,David Williams
Diffusions Markov Processes and Martingales Volume 2 It Calculus Book PDF

Author : L. C. G. Rogers,David Williams
Publisher : Cambridge University Press
Page : 498 pages
File Size : 44,5 Mb
Release : 2000-09-07
Category : Mathematics
ISBN : 0521775930

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Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus by L. C. G. Rogers,David Williams Pdf

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

Semimartingales and Their Stochastic Calculus on Manifolds

Laurent Schwartz
Semimartingales and Their Stochastic Calculus on Manifolds Book PDF

Author : Laurent Schwartz
Publisher : Les Presses de L'Universite de Montreal
Page : 192 pages
File Size : 53,7 Mb
Release : 1984
Category : Mathematics
ISBN : UOM:39015038936186

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Semimartingales and Their Stochastic Calculus on Manifolds by Laurent Schwartz Pdf

Sharp Martingale and Semimartingale Inequalities

Adam Osękowski
Sharp Martingale and Semimartingale Inequalities Book PDF

Author : Adam Osękowski
Publisher : Springer Science & Business Media
Page : 471 pages
File Size : 44,9 Mb
Release : 2012-08-14
Category : Mathematics
ISBN : 9783034803700

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Sharp Martingale and Semimartingale Inequalities by Adam Osękowski Pdf

This monograph is a presentation of a unified approach to a certain class of semimartingale inequalities, which can be regarded as probabilistic extensions of classical estimates for conjugate harmonic functions on the unit disc. The approach, which has its roots in the seminal works of Burkholder in the 80s, enables to deduce a given inequality for semimartingales from the existence of a certain special function with some convex-type properties. Remarkably, an appropriate application of the method leads to the sharp version of the estimate under investigation, which is particularly important for applications. These include the theory of quasiregular mappings (with deep implications to the geometric function theory); the boundedness of two-dimensional Hilbert transform and a more general class of Fourier multipliers; the theory of rank-one convex and quasiconvex functions; and more. The book is divided into a few separate parts. In the introductory chapter we present motivation for the results and relate them to some classical problems in harmonic analysis. The next part contains a general description of the method, which is applied in subsequent chapters to the study of sharp estimates for discrete-time martingales; discrete-time sub- and supermartingales; continuous time processes; the square and maximal functions. Each chapter contains additional bibliographical notes included for reference.​

Lectures on Probability Theory and Statistics

M. Emery,A. Nemirovski,D. Voiculescu
Lectures on Probability Theory and Statistics Book PDF

Author : M. Emery,A. Nemirovski,D. Voiculescu
Publisher : Springer
Page : 359 pages
File Size : 51,7 Mb
Release : 2007-05-06
Category : Mathematics
ISBN : 9783540450290

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Lectures on Probability Theory and Statistics by M. Emery,A. Nemirovski,D. Voiculescu Pdf

This volume contains lectures given at the Saint-Flour Summer School of Probability Theory during 17th Aug. - 3rd Sept. 1998. The contents of the three courses are the following: - Continuous martingales on differential manifolds. - Topics in non-parametric statistics. - Free probability theory. The reader is expected to have a graduate level in probability theory and statistics. This book is of interest to PhD students in probability and statistics or operators theory as well as for researchers in all these fields. The series of lecture notes from the Saint-Flour Probability Summer School can be considered as an encyclopedia of probability theory and related fields.

Stochastic Calculus in Manifolds

Michel Emery
Stochastic Calculus in Manifolds Book PDF

Author : Michel Emery
Publisher : Springer Science & Business Media
Page : 158 pages
File Size : 54,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642750519

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Stochastic Calculus in Manifolds by Michel Emery Pdf

Addressed to both pure and applied probabilitists, including graduate students, this text is a pedagogically-oriented introduction to the Schwartz-Meyer second-order geometry and its use in stochastic calculus. P.A. Meyer has contributed an appendix: "A short presentation of stochastic calculus" presenting the basis of stochastic calculus and thus making the book better accessible to non-probabilitists also. No prior knowledge of differential geometry is assumed of the reader: this is covered within the text to the extent. The general theory is presented only towards the end of the book, after the reader has been exposed to two particular instances - martingales and Brownian motions - in manifolds. The book also includes new material on non-confluence of martingales, s.d.e. from one manifold to another, approximation results for martingales, solutions to Stratonovich differential equations. Thus this book will prove very useful to specialists and non-specialists alike, as a self-contained introductory text or as a compact reference.

Probability Theory III

Yurij V. Prokhorov,Albert N. Shiryaev
Probability Theory III Book PDF

Author : Yurij V. Prokhorov,Albert N. Shiryaev
Publisher : Springer Science & Business Media
Page : 260 pages
File Size : 41,9 Mb
Release : 2013-03-14
Category : Mathematics
ISBN : 9783662036402

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Probability Theory III by Yurij V. Prokhorov,Albert N. Shiryaev Pdf

This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the field. The book addresses graduate students and researchers in probability theory and mathematical statistics, as well as physicists and engineers who need to apply stochastic methods.