伯努利过程的随机分析

IF 1.3 Q2 STATISTICS & PROBABILITY

Probability Surveys Pub Date : 2008-09-18 DOI:10.1214/08-PS139

Nicolas Privault

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引用次数: 71

摘要

这些笔记根据随机变量的i.i.d序列的混沌表示性质，综述了离散时间混沌演算的一些方面及其应用。涵盖的主题包括克拉克公式和可预测表示，预测微积分，协方差恒等式和功能不等式(如偏差和对数Sobolev不等式)，以及离散时间期权对冲的应用。

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Stochastic analysis of Bernoulli processes

These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable representation, anticipating calculus, covariance identities and functional inequalities (such as deviation and logarithmic Sobolev inequalities), and an application to option hedging in discrete time.

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来源期刊

Probability Surveys STATISTICS & PROBABILITY-

CiteScore

4.70

自引率

0.00%

发文量