Verfügbarkeit: Discrete-parameter Martingales | Technische Universität München

Discrete-parameter Martingales:

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Bibliographische Detailangaben
Beteilige Person:	Neveu, Jacques 1932-2016 (VerfasserIn)
Weitere beteiligte Personen:	Speed, Terry 1943- (ÜbersetzerIn)
Format:	Buch
Sprache:	Englisch Französisch
Veröffentlicht:	Amsterdam [u.a.] North-Holland Published 1975 Inc ; New York American Elsevier Publishing Company
Schriftenreihe:	North-Holland mathematical library Volume 10
Schlagwörter:	Martingales (Mathématiques) Martingales (Mathematics) Martingal Stochastik
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=001280238&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	viii, 236 Seiten
ISBN:	0720428106 0444107088

Internformat

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246	1	3	\|a Discrete parameter Martingales
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Datensatz im Suchindex

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adam_text	TABLE OF CONTENTS Preface v I Preliminaries, on conditional expectations 1 1 1. Sub cr fields of a probability space 1 1 2. Conditional expectations 5 1 3. Supplement: Conditional expectations with respect to a a finite measure 16 II Positive martingales and supermartingales 18 II l. Stopping times 19 II 2. Positive supermartingales 22 • II 3. Exercises 33 III Applications 35 III l. Positive martingales and set functions. The Lebesgue and Radon Nikodym theorems on the decomposition of measures 35 III 2. Applications to statistical tests 44 III 3. Haar systems and bases 51 III 4. Gaussian spaces 53 III 5. Application to Markov chains 54 IV Convergence and regularity of martingales 62 IV 1. A.s. convergence of Submartingales 62 IV 2. Regularity of integrable martingales 64 IV 3. Regular stopping times for an integrable martingale ... 73 IV 4. Application: An exponential formula and Wald s identity 78 IV 5. Supplements 86 IV 5 A. Doob s inequalities 86 IV 5 B. Regularity of integrable submartingales .... 91 IV 6. Exercises 93 ¦vii Viii TABLE OF CONTENTS V Extensions of the notion of martingale 95 V l. Martingales with a directed index set 95 V 2. Vector valued martingales 100 V 3. Reversed martingales 115 VI Optimisation problems 120 VI 1. Snell s problem 120 VI 2. Application to Markov chains 130 VI 3. Applications to random walks 131 VI 4. Another application 133 VI 5. Application to sequential statistical analysis 135 VI 6. A stochastic game 137 VII Doob s decomposition of submartingales and its application TO SQUARE INTEGRABLE MARTINGALES 145 VII 1. Generalities 145 VII 2. Asymptotic behaviour of a square integrable martingale. . 148 VII 3. Martingales with integrable pth power 157 VII 4. Gundy s condition 161 VII 5. Exercises 167 VIII Doob s decomposition of positive supermartingales . . . . 171 VIII 1. Generalities 171 VIII 2. Supplement: A remarkable duality 178 VIII 3. Quadratic variation 185 VIII 4. Martingale transforms 202 VIII 5. Exercises 206 Appendix: On the use of Young s functions in the theory of martingales 210 A l. Young s functions 210 A 2. Orlicz spaces 213 A 3. Applications to the theory of martingales 217 References 222 Index of terminology and notation 235
any_adam_object	1
author	Neveu, Jacques 1932-2016
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indexdate	2024-12-20T07:43:56Z
institution	BVB
isbn	0720428106 0444107088
language	English French
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-001280238
oclc_num	1845653
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physical	viii, 236 Seiten
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publisher	North-Holland Published American Elsevier Publishing Company
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series	North-Holland mathematical library
series2	North-Holland mathematical library
spellingShingle	Neveu, Jacques 1932-2016 Discrete-parameter Martingales North-Holland mathematical library Martingales (Mathématiques) Martingales (Mathematics) Martingal (DE-588)4126466-6 gnd Stochastik (DE-588)4121729-9 gnd
subject_GND	(DE-588)4126466-6 (DE-588)4121729-9
title	Discrete-parameter Martingales
title_alt	Martingales à temps discret Discrete parameter Martingales
title_auth	Discrete-parameter Martingales
title_exact_search	Discrete-parameter Martingales
title_full	Discrete-parameter Martingales J. Neveu ; translated by T. P. Speed
title_fullStr	Discrete-parameter Martingales J. Neveu ; translated by T. P. Speed
title_full_unstemmed	Discrete-parameter Martingales J. Neveu ; translated by T. P. Speed
title_short	Discrete-parameter Martingales
title_sort	discrete parameter martingales
topic	Martingales (Mathématiques) Martingales (Mathematics) Martingal (DE-588)4126466-6 gnd Stochastik (DE-588)4121729-9 gnd
topic_facet	Martingales (Mathématiques) Martingales (Mathematics) Martingal Stochastik
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=001280238&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV000005206
work_keys_str_mv	AT neveujacques martingalesatempsdiscret AT speedterry martingalesatempsdiscret AT neveujacques discreteparametermartingales AT speedterry discreteparametermartingales

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