Click Here to Download: https://ouo.io/AOXG0u Change of Time and Change of Measure By: Ole E Barndorff-Nielsen; Albert Shiryaev Publisher: WSPC Print ISBN: 9789814678582, 9814678589 eText ISBN: 9789814678605, 9814678600 Edition: 2nd Pages: 344 Format: EPUB Available from $ 27.00 USD SKU 9789814678605 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'. Request Inspection Copy Contents: Random Change of Time Integral Representations and Change of Time in Stochastic Integrals Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis Stochastic Exponential and Stochastic Logarithm. Cumulant Processes Processes with Independent Increments. Lévy Processes Change of Measure. General Facts Change of Measure in Models Based on Lévy Processes Mathematical researchers, graduate students and practitioners interested in application of probabilistic theories & stochastic processes to economics & finance, and to turbulence.
