STOCHASTIC INTEGRATION WITH JUMPS

Stochastic Integration and Stochastic Di_erential Equations (SDEs) appear in analysis in various guises. An example from physics will perhaps best illuminate the need for this _eld and give an inkling of its particularities. Consider a physical system whose state at time t is described by a vector Xt in Rⁿ . In fact, for concreteness’ sake imagine that the system is a space probe on the way to the moon.

508 pàg

Peso: 3 mb

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Edición: 1^ra

Autor: Klaus Bichteler