Inequa Anal & Probab (2nd Ed)
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Book Overview "The strongest part of the book is the discussion in Chapter 4 of martingale inequalities, mainly various versions of the Burkholder-Davi...
"The strongest part of the book is the discussion in Chapter 4 of martingale inequalities, mainly various versions of the Burkholder-Davis-Gundy inequality."
Mathematical Reviews
The book is aimed at graduate students and researchers with basic knowledge of Probability and Integration Theory. It introduces classical inequalities in vector and functional spaces with applications to probability. It also develops new extensions of the analytical inequalities, with sharper bounds and generalizations to the sum or the supremum of random variables, to martingales and to transformed Brownian motions. The proofs of many new results are presented in great detail. Original tools are developed for spatial point processes and stochastic integration with respect to local martingales in the plane.
This second edition covers properties of random variables and time continuous local martingales with a discontinuous predictable compensator, with exponential inequalities and new inequalities for their maximum variable and their p-variations. A chapter on stochastic calculus presents the exponential sub-martingales developed for stationary processes and their properties. Another chapter devoted itself to the renewal theory of processes and to semi-Markovian processes, branching processes and shock processes. The Chapman-Kolmogorov equations for strong semi-Markovian processes provide equations for their hitting times in a functional setting which extends the exponential properties of the Markovian processes.
Book Details Format: Hardcover | Pages: 298 | Language: English | Publisher: WORLD SCIENTIFIC PUB CO INC | ISBN: 9813143983
FormatHardcover
Pages298
LanguageEnglish
ISBN9813143983
EAN9789813143982
PublisherWORLD SCIENTIFIC PUB CO INC
Publication Date1970-01-01
Edition2
AccessoriesNo Accessory
ConditionNew
Product TypeHARD COVER BOOKS
Weight1.28 Pounds
Length9.1 Inches
Width6.0 Inches
Height0.8 Inches
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