Stochastic analysis of Bernoulli processes
Stochastic analysis of Bernoulli processes
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DOI：
10.1214/08-ps139
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发表时间：
2008-01-01
影响因子：
1.6
通讯作者：
Privault, Nicolas
中科院分区：
文献类型：
--
作者：
Privault, Nicolas
这些笔记综述了离散时间混沌微积分及其应用的一些方面，基于i.i.d.的混沌表示性质。随机变量序列所涵盖的主题包括克拉克公式和可预测的表示，预计演算，协方差身份和功能的不平等（如偏差和对数Sobolev不等式），并在离散时间的期权套期保值的应用。
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.