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A Little Book Of Martingales
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Book Synopsis A Little Book of Martingales by : Arup Bose
Download or read book A Little Book of Martingales written by Arup Bose and published by Springer. This book was released on 2024-11-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This concise textbook, fashioned along the syllabus for master’s and Ph.D. programmes, covers basic results on discrete-time martingales and applications. It includes additional interesting and useful topics, providing the ability to move beyond. Adequate details are provided with exercises within the text and at the end of chapters. Basic results include Doob’s optional sampling theorem, Wald identities, Doob’s maximal inequality, upcrossing lemma, time-reversed martingales, a variety of convergence results and a limited discussion of the Burkholder inequalities. Applications include the 0-1 laws of Kolmogorov and Hewitt–Savage, the strong laws for U-statistics and exchangeable sequences, De Finetti’s theorem for exchangeable sequences and Kakutani’s theorem for product martingales. A simple central limit theorem for martingales is proven and applied to a basic urn model, the trace of a random matrix and Markov chains. Additional topics include forward martingale representation for U-statistics, conditional Borel–Cantelli lemma, Azuma–Hoeffding inequality, conditional three series theorem, strong law for martingales and the Kesten–Stigum theorem for a simple branching process. The prerequisite for this course is a first course in measure theoretic probability. The book recollects its essential concepts and results, mostly without proof, but full details have been provided for the Radon–Nikodym theorem and the concept of conditional expectation.
Book Synopsis A Little Book of Martingales by : Arup Bose
Download or read book A Little Book of Martingales written by Arup Bose and published by Springer Nature. This book was released on with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Martingale Methods in Financial Modelling by : Marek Musiela
Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2006-01-20 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
Book Synopsis Continuous Martingales and Brownian Motion by : Daniel Revuz
Download or read book Continuous Martingales and Brownian Motion written by Daniel Revuz and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.
Book Synopsis Measures, Integrals and Martingales by : René L. Schilling
Download or read book Measures, Integrals and Martingales written by René L. Schilling and published by Cambridge University Press. This book was released on 2005-11-10 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2005, introduces measure and integration theory as it is needed in many parts of analysis and probability.
Book Synopsis Brownian Motion, Martingales, and Stochastic Calculus by : Jean-François Le Gall
Download or read book Brownian Motion, Martingales, and Stochastic Calculus written by Jean-François Le Gall and published by Springer. This book was released on 2016-04-28 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
Book Synopsis Martingale Limit Theory and Its Application by : P. Hall
Download or read book Martingale Limit Theory and Its Application written by P. Hall and published by Academic Press. This book was released on 2014-07-10 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: Martingale Limit Theory and Its Application discusses the asymptotic properties of martingales, particularly as regards key prototype of probabilistic behavior that has wide applications. The book explains the thesis that martingale theory is central to probability theory, and also examines the relationships between martingales and processes embeddable in or approximated by Brownian motion. The text reviews the martingale convergence theorem, the classical limit theory and analogs, and the martingale limit theorems viewed as the rate of convergence results in the martingale convergence theorem. The book explains the square function inequalities, weak law of large numbers, as well as the strong law of large numbers. The text discusses the reverse martingales, martingale tail sums, the invariance principles in the central limit theorem, and also the law of the iterated logarithm. The book investigates the limit theory for stationary processes via corresponding results for approximating martingales and the estimation of parameters from stochastic processes. The text can be profitably used as a reference for mathematicians, advanced students, and professors of higher mathematics or statistics.
Book Synopsis Stochastic Calculus and Financial Applications by : J. Michael Steele
Download or read book Stochastic Calculus and Financial Applications written by J. Michael Steele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Book Synopsis Probability Essentials by : Jean Jacod
Download or read book Probability Essentials written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction can be used, at the beginning graduate level, for a one-semester course on probability theory or for self-direction without benefit of a formal course; the measure theory needed is developed in the text. It will also be useful for students and teachers in related areas such as finance theory, electrical engineering, and operations research. The text covers the essentials in a directed and lean way with 28 short chapters, and assumes only an undergraduate background in mathematics. Readers are taken right up to a knowledge of the basics of Martingale Theory, and the interested student will be ready to continue with the study of more advanced topics, such as Brownian Motion and Ito Calculus, or Statistical Inference.
Book Synopsis The Little Book of Dog Care by : Ace Tilton Ratcliff
Download or read book The Little Book of Dog Care written by Ace Tilton Ratcliff and published by Simon and Schuster. This book was released on 2023-07-11 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to caring for your dog, filled with expert-backed tips and nuggets of advice to help every dog owner understand what their canine companion needs in order to be happy and healthy. In the Little Book of Dog Care, life-long dog lover and deathcare veterinary practice owner Ace Tilton Ratcliff delivers a must-have primer for every dog parent. What should you do when your dog is scared during a thunderstorm? How can you make clipping their nails less miserable? When do they like to eat? What can’t you feed them? Endless questions, expert-certified answers. Thoughtfully divided into chapters that focus on a specific aspect of care, from sleeping to grooming and beyond, these tips and tricks are applicable to any breed of dog. By the last page, every dog owner will better understand what their dog might be feeling—and how to best assist, using your enviable opposable thumbs.
Book Synopsis Martingales and Stochastic Integrals I by : Paul-Andre Meyer
Download or read book Martingales and Stochastic Integrals I written by Paul-Andre Meyer and published by Springer. This book was released on 2006-11-15 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematics of Financial Markets by : Robert J Elliott
Download or read book Mathematics of Financial Markets written by Robert J Elliott and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.
Book Synopsis Probability and Finance by : Glenn Shafer
Download or read book Probability and Finance written by Glenn Shafer and published by John Wiley & Sons. This book was released on 2005-02-25 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a foundation for probability based on game theory rather than measure theory. A strong philosophical approach with practical applications. Presents in-depth coverage of classical probability theory as well as new theory.
Book Synopsis A Little Book on Probability and Finance by : Cho, Seung Mo
Download or read book A Little Book on Probability and Finance written by Cho, Seung Mo and published by 주식회사 부크크. This book was released on 2017-02-27 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern finance theory is vast and deep with various academic bases such as microeconomics, econometrics, probability theory, stochastic calculus, psychology, sociology, political economy, etc. depending on the specific research theme. Among those bases, this book is adopting probability theory and stochastic calculus to present some of the main contents of finance in a very concise manner. As a matter of fact, the objective of this book is to show, as concisely as possible, how probability and stochastic calculus is closely related to modern mathematical finance. So the organization of the book is to present theories of probability first and then their related financial theories later within each of the chapters in the theorem-proof style. From my past experience, students with a quantitative background prefer mathematical symbols to normal English sentences especially in case they are not native speakers of English. So I have tried to minimize the use of English sentences. This book is intended for upper level undergraduate courses and introductory graduate courses in mathematical finance for a single semester. This book can also be used for self-studying students with proper prerequisite knowledge. The only prerequisite for this book is one year courses of calculus.
Book Synopsis Big Wishes for Little Feat by : Cheryl Olsten
Download or read book Big Wishes for Little Feat written by Cheryl Olsten and published by Greenleaf Book Group. This book was released on 2020-10-06 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: When a young horse and a little girl fascinated by the stars above are brought together by a bit of fate and one shooting star, nothing can keep them apart. Cheryl Olsten tells the fanciful and delightful tale of a young horse in Belgium and a little girl living in America who are brought together by a bit of fate and a shooting star. When Ella’s parents send her to live with her great-aunt in the beautiful Kingdom of Belgium, she becomes lonely and lost. Not far away lives an equally lonely young horse, the smallest in the stable. Little Feat, as he will be known, longs for a forever friend. When Ella and Little Feat are brought together, their devotion to each other grows. Their awe and love of the night sky with sparkling stars and constellations takes them on a journey that will change their lives forever. Big Wishes for Little Feat is a wonderful tale that will ignite the imagination with its rich, colorful illustrations by award-winning Italian illustrator Paolo d’Altan. Central to the book’s charm is the imagery of stars and constellations to which a little girl and her horse both look for inspiration, confidence, and faith in themselves, as they learn how to turn disappointments into achievements. A quirky aunt adds to the fun of this tale of happy endings and new beginnings. For young girls who love animals with a special fondness for the magic of horses. Cheryl Olsten was formerly the publisher of two New Jersey Magazines, New Jersey Life and New Jersey Life Health and Beauty. She resides in Pennsylvania with her husband, while their grown children are living their happy lives on different parts of the globe.
Book Synopsis Probability and Stochastics by : Erhan Çınlar
Download or read book Probability and Stochastics written by Erhan Çınlar and published by Springer Science & Business Media. This book was released on 2011-02-21 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text is an introduction to the modern theory and applications of probability and stochastics. The style and coverage is geared towards the theory of stochastic processes, but with some attention to the applications. In many instances the gist of the problem is introduced in practical, everyday language and then is made precise in mathematical form. The first four chapters are on probability theory: measure and integration, probability spaces, conditional expectations, and the classical limit theorems. There follows chapters on martingales, Poisson random measures, Levy Processes, Brownian motion, and Markov Processes. Special attention is paid to Poisson random measures and their roles in regulating the excursions of Brownian motion and the jumps of Levy and Markov processes. Each chapter has a large number of varied examples and exercises. The book is based on the author’s lecture notes in courses offered over the years at Princeton University. These courses attracted graduate students from engineering, economics, physics, computer sciences, and mathematics. Erhan Cinlar has received many awards for excellence in teaching, including the President’s Award for Distinguished Teaching at Princeton University. His research interests include theories of Markov processes, point processes, stochastic calculus, and stochastic flows. The book is full of insights and observations that only a lifetime researcher in probability can have, all told in a lucid yet precise style.
Book Synopsis Bandit Algorithms by : Tor Lattimore
Download or read book Bandit Algorithms written by Tor Lattimore and published by Cambridge University Press. This book was released on 2020-07-16 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and rigorous introduction for graduate students and researchers, with applications in sequential decision-making problems.
