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Item Details
Title:
CHANGE OF TIME AND CHANGE OF MEASURE
By:
Ole E. Barndorff-Nielsen, Albert N. Shiryaev
Format:
Hardback
List price:
£56.00
Our price:
£50.40
Discount:
10
% off
You save:
£5.60
ISBN 10:
9814678589
ISBN 13:
9789814678582
Availability:
Usually dispatched within 1-3 weeks.
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Stock:
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0
available
Publisher:
WORLD SCIENTIFIC PUBLISHING CO PTE LTD
Pub. date:
8 May, 2015
Edition:
Second Edition
Series:
Advanced Series on Statistical Science & Applied Probability 21
Pages:
344
Description:
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.
Synopsis:
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'.
Publication:
Singapore
Imprint:
World Scientific Publishing Co Pte Ltd
Returns:
Returnable
Some other items by this author:
AEOLIAN GRAIN TRANSPORT (PB)
AMBIT STOCHASTICS (HB)
AMBIT STOCHASTICS (PB)
CHANGE OF TIME AND CHANGE OF MEASURE
CHANGE OF TIME AND CHANGE OF MEASURE (HB)
DECOMPOSITION AND INVARIANCE OF MEASURES, AND STATISTICAL TRANSFORMATION MODELS (PB)
ESSENTIALS OF STOCHASTIC FINANCE: FACTS, MODELS, THEORY (HB)
GEOMETRY IN PRESENT DAY SCIENCE - PROCEEDINGS OF THE CONFERENCE (HB)
INFORMATION AND EXPONENTIAL FAMILIES
LEVY PROCESSES (HB)
LEVY PROCESSES (PB)
LIMIT THEOREMS FOR STOCHASTIC PROCESSES (HB)
LIMIT THEOREMS FOR STOCHASTIC PROCESSES (PB)
MATHEMATICAL CONTROL THEORY AND FINANCE (HB)
MATHEMATICAL CONTROL THEORY AND FINANCE (PB)
NETWORKS AND CHAOS (HB)
OPTIMAL STOPPING AND FREE BOUNDARY PROBLEMS (HB)
OPTIMAL STOPPING RULES (PB)
PARAMETRIC STATISTICAL MODELS AND LIKELIHOOD (PB)
PROBABILITY (HB)
PROBABILITY (HB)
PROBABILITY (HB)
PROBABILITY (PB)
PROBABILITY THEORY (HB)
PROBABILITY THEORY (PB)
PROBABILITY-1 (HB)
PROBABILITY-1 (PB)
PROBABILITY-2
PROBLEMS IN PROBABILITY (HB)
PROBLEMS IN PROBABILITY (PB)
PROKHOROV AND CONTEMPORARY PROBABILITY THEORY (HB)
PROKHOROV AND CONTEMPORARY PROBABILITY THEORY (PB)
QUANTUM INDEPENDENT INCREMENT PROCESSES II (PB)
STATISTICAL EXPERIMENTS AND DECISION, ASYMPTOTIC THEORY (HB)
STATISTICS & CONTROL OF RANDOM PROCESSES (PB)
STATISTICS OF RANDOM PROCESSES (HB)
STATISTICS OF RANDOM PROCESSES (PB)
STATISTICS OF RANDOM PROCESSES II (HB)
STATISTICS OF RANDOM PROCESSES II (PB)
STOCHASTIC DISORDER PROBLEMS (HB)
STOCHASTIC FINANCE (HB)
STOCHASTIC FINANCE (PB)
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STOCHASTIC PROCESSES (HB)
THE EROSIONAL ENVIRONMENT (PB)
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