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This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations. The book is clearly written and details of proofs are worked out.

A digital copy of "Martingale Limit Theory and Its Application" by Peter Hall. Download is immediately available upon purchase!

Martin Svensson Home - Bedroom Benches - 3706036 - The Martingale 48-inch upholstered double bench is the perfect addition to any home. Mixed materials and a transitional design bring a touch of sophistication and elegance to your space. The ivory chunky boucl� seat ensures comfort, while a black X base metal frame provides durability and longevity. Roped jute wrapping around the legs adds additional texture and visual interest, as well as an element of sustainability. This versatile accent stool is perfect for a variety of uses, from extra seating in your living room to an ottoman, or for use at the foot of your bed when lacing up shoes. The bench exudes a classic look with a modern twist, and will complement any home d�cor. When not in use, it easily folds up and can be conveniently stored. However, with its luxuriously textured seat and powder-coated base, you may not want to hide it away!Crafted of an ivory chunky boucl� seat for extended comfort; A powder coated black metal base ensures durability and longevity; Jute roping around the legs adds sustainability and texture; Introduces a classic look with a modern twist that will complement any room d�cor; Ideal for the bedroom, hallway, living room, or dining and kitchen areas; Boucl� is a low-absorption fabric but can still stain; any spills should be treated by soaking up excess moisture before spot cleaning with a mild solvent or detergent. Avoid rubbing rigorously to keep texture intact.; Assembled product dimensions: 48� W x 16� D x 18� H; Fabric thickness: 3.25"";. Specifications:Bench Dimensions: 48""W x 16""D x 19""H; Material: Boucle; Color/Finish: Ivory and Black; Assembly Required: Yes.

This gives a comprehensive introduction to the (standard) statistical analysis based on the theory of martingales and develops entropy methods in order to treat dependent data in the framework of martingales. The author starts a summary of the martingale theory, and then proceeds to give full proofs of the martingale central limit theorems. In addition, the book presents some general theories for semiparametric Z-estimation and semiparametric change point problem, with new examples.

Love fabrics inspired by the Civil War era? Save every scrap? Carol Hopkins applauds you--she saves every scrap too! In this fourth book from her "Civil War Legacies" series, you'll find a collection of small, spectacular quilts where every scrap you save can shine. Make a quilt honoring the Blue and Gray Trail; choose a stunning tribute to the woman who established the American Red Cross; stitch a sampler chock-full of charming Basket blocks. Along with 14 of Carol's exquisite designs to make step by step, you'll enjoy reading little-known facts about the Civil War and Carol's stories about how each stunning little quilt came to be.

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

This book gives a systematic introduction to the theory of martingale spaces and inequalities. Except those mainly concerned with the martingale Hp, p>1, most parts of the book reflect the developments in the field in the past twenty years. The material is self-contained, only a familiarity with basic analysis is required. Both graduate students and mathematicians who want to know about the interaction between analysis and probability will find this book to be a valuable reference and text.Das Buch gibt eine systematische Einführung in die Martingaltheorie und ihre Beziehungen zur Analysis. Der größte Teil des Buches beschreibt die Entwicklungen der letzten 20 Jahre.

This gives a comprehensive introduction to the (standard) statistical analysis based on the theory of martingales and develops entropy methods in order to treat dependent data in the framework of martingales. The author starts a summary of the martingale theory, and then proceeds to give full proofs of the martingale central limit theorems. In addition, the book presents some general theories for semiparametric Z-estimation and semiparametric change point problem, with new examples.

This book is a thorough and self-contained treatise of martingales as a tool in stochastic analysis, stochastic integrals and stochastic differential equations. The book is clearly written and details of proofs are worked out.

This comprehensive and self-contained treatment of the theory and practice of option pricing describes the role of martingale methods in financial modelling. The emphasis is on using arbitrage-free models already accepted by the market as well as on building new ones but in a way that makes them consistent with the finance industry's derivatives pricing practice. Standard calls and puts, together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates, are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and to present to the industry useful mathematical tools.

This book gives a systematic introduction to the theory of martingale spaces and inequalities. Except those mainly concerned with the martingale Hp, p>1, most parts of the book reflect the developments in the field in the past twenty years. The material is self-contained, only a familiarity with basic analysis is required. Both graduate students and mathematicians who want to know about the interaction between analysis and probability will find this book to be a valuable reference and text.Das Buch gibt eine systematische Einführung in die Martingaltheorie und ihre Beziehungen zur Analysis. Der größte Teil des Buches beschreibt die Entwicklungen der letzten 20 Jahre.

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

A thorough grounding in Markov chains and martingales is essential in dealing with many problems in applied probability, and is a gateway to the more complex situations encountered in the study of stochastic processes. Exercises are a fundamental and valuable training tool that deepen students' understanding of theoretical principles and prepare them to tackle real problems.In addition to a quick but thorough exposition of the theory, Martingales and Markov Chains: Solved Exercises and Elements of Theory presents, more than 100 exercises related to martingales and Markov chains with a countable state space, each with a full and detailed solution. The authors begin with a review of the basic notions of conditional expectations and stochastic processes, then set the stage for each set of exercises by recalling the relevant elements of the theory. The exercises range in difficulty from the elementary, requiring use of the basic theory, to the more advanced, which challenge the reader's initiative. Each section also contains a set of problems that open the door to specific applications.Designed for senior undergraduate- and graduate level students, this text goes well beyond merely offering hints for solving the exercises, but it is much more than just a solutions manual. Within its solutions, it provides frequent references to the relevant theory, proposes alternative ways of approaching the problem, and discusses and compares the arguments involved.

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.

This is a masterly introduction to the modern and rigorous theory of probability. The author adopts the martingale theory as his main theme and moves at a lively pace through the subject's rigorous foundations. Measure theory is introduced and then immediately exploited by being applied to real probability theory. Classical results, such as Kolmogorov's Strong Law of Large Numbers and Three-Series Theorem are proved by martingale techniques. A proof of the Central Limit Theorem is also given. The author's style is entertaining and inimitable with pedagogy to the fore. Exercises play a vital role; there is a full quota of interesting and challenging problems, some with hints.

This is a masterly introduction to the modern and rigorous theory of probability. The author adopts the martingale theory as his main theme and moves at a lively pace through the subject's rigorous foundations. Measure theory is introduced and then immediately exploited by being applied to real probability theory. Classical results, such as Kolmogorov's Strong Law of Large Numbers and Three-Series Theorem are proved by martingale techniques. A proof of the Central Limit Theorem is also given. The author's style is entertaining and inimitable with pedagogy to the fore. Exercises play a vital role; there is a full quota of interesting and challenging problems, some with hints.

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.

This is a masterly introduction to the modern and rigorous theory of probability. The author adopts the martingale theory as his main theme and moves at a lively pace through the subject's rigorous foundations. Measure theory is introduced and then immediately exploited by being applied to real probability theory. Classical results, such as Kolmogorov's Strong Law of Large Numbers and Three-Series Theorem are proved by martingale techniques. A proof of the Central Limit Theorem is also given. The author's style is entertaining and inimitable with pedagogy to the fore. Exercises play a vital role; there is a full quota of interesting and challenging problems, some with hints.

A concise yet elementary introduction to measure and integration theory, which are vital in many areas of mathematics, including analysis, probability, mathematical physics and finance. In this highly successful textbook, core ideas of measure and integration are explored, and martingales are used to develop the theory further. Other topics are also covered such as Jacobi's transformation theorem, the Radon-Nikodym theorem, differentiation of measures and Hardy-Littlewood maximal functions. In this second edition, readers will find newly added chapters on Hausdorff measures, Fourier analysis, vague convergence and classical proofs of Radon-Nikodym and Riesz representation theorems. All proofs are carefully worked out to ensure full understanding of the material and its background. Requiring few prerequisites, this book is suitable for undergraduate lecture courses or self-study. Numerous illustrations and over 400 exercises help to consolidate and broaden knowledge. Full solutions to all exercises are available on the author's webpage at www.motapa.de.

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.