Stochastic processes with jumps and random measures can be expected to gain importance as drivers in applications like financial mathematics and signal processing. This comprehensive treatise pro vides their complete integration theory. Full proofs are given for all results, and motivation is stressed throughout. A large appendix contains most of the analysis that readers will need as a prerequisite. This will be an invaluable reference for graduate students and researchers in mathematics, physics, electrical engineering and finance who need to use stochastic differential equations.
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