Stochastic Analysis in Discrete and Continuous Settings

• The Discrete Time Case.- Continuous Time Normal Martingales.- Gradient and Divergence Operators.- Annihilation and Creation Operators.- Analysis on the Wiener Space.- Analysis on the Poisson Space.- Local Gradients on the Poisson Space.- Option Hedging in Continuous Time.

From the reviews:“The author presents several aspects of stochastic analysis for discrete and continuous-time normal martingales. … variety of operators on the Poisson space is an highlight of this book. … It is finally worth mentioning that this volume of the Lecture Notes in Mathematics includes many interesting applications and that the various notions, properties and proofs are clear and detailed.” (A. Réveillac, Zentralblatt MATH, Vol. 1185, 2010)“The book under review has the original feature of giving a unified treatment to all normal martingales. … The book is quite accessible to beginners. … its main goal is providing advanced researchers with a study of stochastic analysis in both discrete and continuous time and with a simultaneous treatment of both continuous and jump processes.” (Dominique Lépingle, Mathematical Reviews, Issue 2011 j)