Change of time and change of measure
Auteur :
Barndorff-nielsen, Ole E / Shiryaev, Albert N
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789814324472
Date de publication :
9 nov. 2010
Langue :
Anglais
Pays d'origine :
Singapour
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. This book is suitable for graduate-level courses and students, as well as for researchers and practitioners in financial mathematics and econometrics.