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Change Time & Measure (2nd Ed)

by Barndorff-Nielsen Ole E

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Two transformations in stochastic analysis

$71.89 USD
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Hardcover New English

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AlbakiReads Editorial

Two transformations in stochastic analysis

This mathematical treatment brings together random changes of time and changes of probability law, showing how each connects to the study and modeling of stochastic processes. The topics reach beyond theory: the description points to applications in mathematical finance, insurance mathematics, and large deviation theory. The second edition adds a chapter surveying developments since the first, including work rooted in the statistical theory of turbulence and the newer research area called ambit stochastics. Its scope makes the book a reference point across several strands of applied and theoretical stochastics.

Good fit for readers who enjoy

  • Researchers and advanced students in probability, statistics, and stochastic processes.
  • Readers working in mathematical finance, insurance mathematics, or large deviation theory.
  • Those seeking an account of developments including ambit stochastics.

Themes

Random time changeChange of probability lawStochastic-process modelingApplications in finance and insuranceAmbit stochastics

Based on publisher information and book metadata.

Book overview

 

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.

Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.

The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance.

In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

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