Change Of Time And Change Of Measure - Barndorff-nielsen, Ole E (Aarhus Univ, Denmark) a Shiryaev, Albert N (Steklov Mathematical Inst a Moscow State Univ, Russia)

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. This book is suitable for graduate-level courses and students, as well as for researchers and practitioners in financial mathematics and econometrics.