Semimartingales
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Semimartingales
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Author : Michel Métivier
language : en
Publisher: Walter de Gruyter
Release Date : 2011-06-01
Semimartingales written by Michel Métivier and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-01 with Mathematics categories.
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Semimartingales And Their Statistical Inference
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Author : B.L.S. Prakasa Rao
language : en
Publisher: Routledge
Release Date : 2019-01-15
Semimartingales And Their Statistical Inference written by B.L.S. Prakasa Rao and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-15 with Mathematics categories.
Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability. The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales. Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include: Asymptotic likelihood theory Quasi-likelihood Likelihood and efficiency Inference for counting processes Inference for semimartingale regression models The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.
Semimartingale Theory And Stochastic Calculus
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Author : He/Wang/yan
language : en
Publisher: Routledge
Release Date : 2019-07-09
Semimartingale Theory And Stochastic Calculus written by He/Wang/yan and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-09 with Mathematics categories.
Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theory, and related stochastic calculus. The book emphasizes stochastic integration for semimartingales, characteristics of semimartingales, predictable representation properties and weak convergence of semimartingales. It also includes a concise treatment of absolute continuity and singularity, contiguity, and entire separation of measures by semimartingale approach. Two basic types of processes frequently encountered in applied probability and statistics are highlighted: processes with independent increments and marked point processes encountered frequently in applied probability and statistics. Semimartingale Theory and Stochastic Calculus is a self-contained and comprehensive book that will be valuable for research mathematicians, statisticians, engineers, and students.
Semimartingales And Their Stochastic Calculus On Manifolds
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Author : Laurent Schwartz
language : en
Publisher: Les Presses de L'Universite de Montreal
Release Date : 1984
Semimartingales And Their Stochastic Calculus On Manifolds written by Laurent Schwartz and has been published by Les Presses de L'Universite de Montreal this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Mathematics categories.
Weak Convergence Of Distribution Valued Semimartingales And Associated Sde S
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Author : Ravi T. Chari
language : en
Publisher:
Release Date : 1984
Weak Convergence Of Distribution Valued Semimartingales And Associated Sde S written by Ravi T. Chari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Martingales (Mathematics) categories.
Diffusion Approximation Of A Sequence Of Semimartingales And Its Application In Exploring The Asymptotic Behaviour Of Some Queueing Networks
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Author : Yi-Ju Chao
language : en
Publisher:
Release Date : 1999
Diffusion Approximation Of A Sequence Of Semimartingales And Its Application In Exploring The Asymptotic Behaviour Of Some Queueing Networks written by Yi-Ju Chao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Stability Of Stochastic Differential Equations With Respect To Semimartingales
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Author : Xuerong Mao
language : en
Publisher:
Release Date : 1991
Stability Of Stochastic Differential Equations With Respect To Semimartingales written by Xuerong Mao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Mathematics categories.
Stability Of Stochastic Differential Equations Driven By General Semimartingales
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Author : Leszek Słomiński
language : en
Publisher:
Release Date : 1996
Stability Of Stochastic Differential Equations Driven By General Semimartingales written by Leszek Słomiński and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Semimartingales (Mathematics) categories.
Mathematical Analysis And Applications
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Author : Leopoldo Nachbin
language : en
Publisher:
Release Date : 1981
Mathematical Analysis And Applications written by Leopoldo Nachbin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Mathematics categories.
Sharp Martingale And Semimartingale Inequalities
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Author : Adam Osękowski
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-14
Sharp Martingale And Semimartingale Inequalities written by Adam Osękowski and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-14 with Mathematics categories.
This monograph is a presentation of a unified approach to a certain class of semimartingale inequalities, which can be regarded as probabilistic extensions of classical estimates for conjugate harmonic functions on the unit disc. The approach, which has its roots in the seminal works of Burkholder in the 80s, enables to deduce a given inequality for semimartingales from the existence of a certain special function with some convex-type properties. Remarkably, an appropriate application of the method leads to the sharp version of the estimate under investigation, which is particularly important for applications. These include the theory of quasiregular mappings (with deep implications to the geometric function theory); the boundedness of two-dimensional Hilbert transform and a more general class of Fourier multipliers; the theory of rank-one convex and quasiconvex functions; and more. The book is divided into a few separate parts. In the introductory chapter we present motivation for the results and relate them to some classical problems in harmonic analysis. The next part contains a general description of the method, which is applied in subsequent chapters to the study of sharp estimates for discrete-time martingales; discrete-time sub- and supermartingales; continuous time processes; the square and maximal functions. Each chapter contains additional bibliographical notes included for reference.