Discretization of Processes

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ISBN-13:
9783642269509
Veröffentl:
2013
Einband:
Paperback
Erscheinungsdatum:
28.11.2013
Seiten:
612
Autor:
Philip Protter
Gewicht:
914 g
Format:
235x155x33 mm
Serie:
67, Stochastic Modelling and Applied Probability
Sprache:
Englisch
Beschreibung:

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.

The first and so far the only book in this area
Part 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.
Using classic statistical tools, this book synthesizes ten years of research to establish a sohisticated theory of how to go about estimating not just scalar parameters of a proposed model, but also the underlying structure of the model itself.

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