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Probability Essentials
We have made small changes throughout the book, including the exercises, and we have tried to correct if not all, then at least most of the typos. We wish to thank the many …
Lévy Matters I
Over the past 10-15 years, we have seen a revival of general Levy ' processes theory as well as a burst of new applications. In the past, Brownian motion or the Poisson process …
Limit Theorems for Stochastic Processes
Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart …
Lévy Processes at Saint-Flour
Bretagnolle, Jean: Processus a accroissements indépendants.- Ibragimov, Ildar: Théorèmes limites pour les marches aléatoires.- Jacod, Jean: Théorèmes limite pour les processus.- …
Ecole d'Ete de Probabilites de Saint-Flour XIII, 1983
Discretization of Processes
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such …