000 | 04018nam a22005175i 4500 | ||
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001 | 978-3-642-24127-7 | ||
003 | DE-He213 | ||
005 | 20140220083303.0 | ||
007 | cr nn 008mamaa | ||
008 | 111021s2012 gw | s |||| 0|eng d | ||
020 |
_a9783642241277 _9978-3-642-24127-7 |
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024 | 7 |
_a10.1007/978-3-642-24127-7 _2doi |
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050 | 4 | _aQA273.A1-274.9 | |
050 | 4 | _aQA274-274.9 | |
072 | 7 |
_aPBT _2bicssc |
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072 | 7 |
_aPBWL _2bicssc |
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072 | 7 |
_aMAT029000 _2bisacsh |
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082 | 0 | 4 |
_a519.2 _223 |
100 | 1 |
_aJacod, Jean. _eauthor. |
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245 | 1 | 0 |
_aDiscretization of Processes _h[electronic resource] / _cby Jean Jacod, Philip Protter. |
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2012. |
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300 |
_aXVI, 596 p. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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347 |
_atext file _bPDF _2rda |
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490 | 1 |
_aStochastic Modelling and Applied Probability, _x0172-4568 ; _v67 |
|
505 | 0 | _aPart I Introduction and Preliminary Material -- 1.Introduction -- 2.Some Prerequisites -- Part II The Basic Results -- 3.Laws of Large Numbers: the Basic Results -- 4.Central Limit Theorems: Technical Tools -- 5.Central Limit Theorems: the Basic Results -- 6.Integrated Discretization Error -- Part III More Laws of Large Numbers -- 7.First Extension: Random Weights -- 8.Second Extension: Functions of Several Increments -- 9.Third Extension: Truncated Functionals -- Part IV Extensions of the Central Limit Theorems -- 10.The Central Limit Theorem for Random Weights -- 11.The Central Limit Theorem for Functions of a Finite Number of Increments -- 12.The Central Limit Theorem for Functions of an Increasing Number of Increments -- 13.The Central Limit Theorem for Truncated Functionals -- Part V Various Extensions -- 14.Irregular Discretization Schemes. 15.Higher Order Limit Theorems -- 16.Semimartingales Contaminated by Noise -- Appendix -- References -- Assumptions -- Index of Functionals -- Index. | |
520 | _aIn 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. | ||
650 | 0 | _aMathematics. | |
650 | 0 | _aDistribution (Probability theory). | |
650 | 0 |
_aEconomics _xStatistics. |
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650 | 0 | _aEconometrics. | |
650 | 1 | 4 | _aMathematics. |
650 | 2 | 4 | _aProbability Theory and Stochastic Processes. |
650 | 2 | 4 | _aStatistics for Business/Economics/Mathematical Finance/Insurance. |
650 | 2 | 4 | _aEconometrics. |
700 | 1 |
_aProtter, Philip. _eauthor. |
|
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783642241260 |
830 | 0 |
_aStochastic Modelling and Applied Probability, _x0172-4568 ; _v67 |
|
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-24127-7 |
912 | _aZDB-2-SMA | ||
999 |
_c102260 _d102260 |