TY  - BOOK
AU  - Barndorff-Nielsen,Ole E.
AU  - Shiriyaev,Albert
TI  - Change of time and change of measure
T2  - Advanced series on statistical science and applied probability
SN  - 9789814678582 (hardcover : alk. paper)
U1  - 519.23 23
PY  - 2015///
CY  - Singapore
PB  - World Scientific
KW  - Random measures
KW  - Stochastic analysis
KW  - Stochastic models
KW  - Probabilities
KW  - Time-series analysis
N1  - Includes bibliographical references and index; 1. Random Change of Time; 
2. Integral Representations and Change of Time in Stochastic Integrals; 
3. Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis; 
4. Stochastic Exponential and Stochastic Logarithm. Cumulant Processes; 
5. Processes with Independent Increments. Levy Processes; 6. Change of Measure. General Facts; 
7. Change of Measure in Models Based on Levy Processes; 
8. Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes; 
9. Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case; 
10. Martingale Measures in the Stochastic Theory of Arbitrage; 11. Change of Measure in Option Pricing; 
12. Conditionally Brownian and Levy Processes. Stochastic Volatility Models; 
13. A Wider View. Ambit Processes and Fields, and Volatility/Intermittency
N2  - Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law
ER  -