The text is concerned with a class of two-sided stochastic processes of the form X=W+A. Here W is a two-sided Brownian motion with random initial data at time zero and A?A(W) is a function of W. Elements of the related stochastic calculus are introduced. In particular, the calculus is adjusted to the case when A is a jump process.
| ISBN: | 9781470426033 |
| Publication date: | 30th October 2017 |
| Author: | JörgUwe Löbus |
| Publisher: | American Mathematical Society |
| Format: | Paperback |
| Pagination: | 135 pages |
| Series: | Memoirs of the American Mathematical Society |
| Genres: |
Probability and statistics |