Discretization of Processes (Stochastic Modelling and Applied Probability Book 67) 2012th Edition by Jean Jacod (PDF)

Description

In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, “In God we trust; all others must bring data.” This book establishes the theory of how to go about estimating not just scalar parameters about a proposed model, but also the underlying structure of the model itself. Classic statistical tools are used: the law of large numbers, and the central limit theorem. Researchers have recently developed creative and original methods to use these tools in sophisticated (but highly technical) ways to reveal new details about the underlying structure. For the first time in book form, the authors present these latest techniques, based on research from the last 10 years. They include new findings. This book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics.

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐The book itself is excellent. For the material it covers, it is the most comprehensive of the admittedly narrow subject. It is about as difficult as you’d expect a math book at this level to be.However, the binding on the book is not very good. It s already starting to fall apart, and I’ve had it only about 8 months. I have used it extensively though to write my dissertation.

⭐This book is not for learning discretization of Processes. It is a sort-of collections of theorems and lemmas related to discretization processes.Explanations are vague and tortuous. Also, I have the feeling that the book is not free from errors and confusions since parameters are often given without explanations or definitions and this is a characteristics of imprecise and error prone authors.The book is very expensive and I do not suggest it to students or even researchers expert in the field.

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Discretization of Processes (Stochastic Modelling and Applied Probability Book 67) 2012th Edition PDF Free Download
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