Change of time and change of measure / Ole E. Barndorff-Nielsen and Albert Shiryaev.
Material type:
TextSeries: Advanced series on statistical science and applied probability ; v 21.Publication details: Singapore : World Scientific, ©2015.Edition: 2nd edDescription: xviii, 326 p. ; 24 cmISBN: - 9789814678582 (hardcover : alk. paper)
- 519.23 23 B259
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 519.23 B259 (Browse shelf(Opens below)) | Available | 136994 |
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| 519.23 B177 Stochastic calculus : | 519.23 B225 Recent advances in stochastic calculus | 519.23 B241 Stochastic porous media equations / | 519.23 B259 Change of time and change of measure / | 519.23 B287 stochastic models for social progresses | 519.23 B287 stochastic models for social progresses | 519.23 B287 stochastic models for social progresses |
Includes bibliographical references and index.
1. Random Change of Time;
2. Integral Representations and Change of Time in Stochastic Integrals;
3. Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis;
4. Stochastic Exponential and Stochastic Logarithm. Cumulant Processes;
5. Processes with Independent Increments. Levy Processes; 6. Change of Measure. General Facts;
7. Change of Measure in Models Based on Levy Processes;
8. Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes;
9. Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case;
10. Martingale Measures in the Stochastic Theory of Arbitrage; 11. Change of Measure in Option Pricing;
12. Conditionally Brownian and Levy Processes. Stochastic Volatility Models;
13. A Wider View. Ambit Processes and Fields, and Volatility/Intermittency;
Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.
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