Nonlinear Stochastic Integrators, Equations and Flows

Rene A. Carmona, David Nualart

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English

Gordon & Breach Science Publishers SA
01 January 1990

Probability & statistics; Stochastics

This monograph aims to present and develop a general theory of stochastic integration where the integral is a non-linear function of the integrand. A discussion of the theory and corresponding stochastic calculus is given, providing a generalization of the works of Sznitman on L2-martingales, Le Jan and Watanabe on smooth martingales and Futjiwara and Kunita on the integral with respect to Levy processes.

By: David Nualart
Edited by: Rene A. Carmona
Imprint: Gordon & Breach Science Publishers SA
Volume: Vol 6
Dimensions: Height: 229mm, Width: 152mm,
Weight: 340g
ISBN: 9782881247330
ISBN 10: 2881247334
Pages: 160
Publication Date: 01 January 1990
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Hardback
Publisher's Status: Active

Part 1 Non-linear stochastics integrators: non-linear integrators; properties of stochastic integrals; decompositions and characterizations. Part 2 Stochastic calculus: Jacod local characteristics; the Sznitman's integral; Ito's formula. Part 3 Stochastics integral equations. Part 4 Dependence on the initial conditions and flows: setting on the problem; continuity with respect to the initial conditions; differentiability; homeomorphic property; flow generators.

Rene A. Carmona, University of California, David ualart Universitat de Barcelona, Spain.