Point Processes And Jump Diffusions
Download Point Processes And Jump Diffusions PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Point Processes And Jump Diffusions book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages.
Point Processes and Jump Diffusions
Author: Tomas Björk
language: en
Publisher: Cambridge University Press
Release Date: 2021-06-17
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.
An Introduction to the Theory of Point Processes
Author: D.J. Daley
language: en
Publisher: Springer Science & Business Media
Release Date: 2007-11-12
This is the second volume of the reworked second edition of a key work on Point Process Theory. Fully revised and updated by the authors who have reworked their 1988 first edition, it brings together the basic theory of random measures and point processes in a unified setting and continues with the more theoretical topics of the first edition: limit theorems, ergodic theory, Palm theory, and evolutionary behaviour via martingales and conditional intensity. The very substantial new material in this second volume includes expanded discussions of marked point processes, convergence to equilibrium, and the structure of spatial point processes.
Stochastic Flows and Jump-Diffusions
This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heatequations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.