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A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.
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Second Edition
I. Karatzas and S.E. Shreve
Brownian Motion and Stochastic Calculus
"A valuable book for every graduate student studying stochastic process, and for those who are interested in pure and applied probability. The authors have done a good job."―MATHEMATICAL REVIEWS
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A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) (Graduate Texts in Mathematics, 113, Band 113).
Verlag:
New York. Springer-Verlag., 1991
ISBN 10: 0387976558
ISBN 13: 9780387976556
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
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Paperback. Zustand: Very Good. This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping. Bestandsnummer des Verkäufers 6545-9780387976556
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Brownian Motion and Stochastic Calculus. (Graduate Texts in Mathematics, 113, Band 113).
Verlag:
New York. Springer-Verlag., 1991
ISBN 10: 0387976558
ISBN 13: 9780387976556
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kartoniert. Zustand: Sehr gut. Zust: Gutes Exemplar. 496 S. Englisch 700g. Bestandsnummer des Verkäufers 494905
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
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Paperback. Zustand: Very Good. Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping. Bestandsnummer des Verkäufers 7719-9780387976556
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Brownian Motion and Stochastic Calculus
Verlag:
Springer New York, 1991
ISBN 10: 0387976558
ISBN 13: 9780387976556
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Kartoniert / Broschiert. Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. A perennial best-seller, now in its fourth printingBrownian motion is currently a hot topic in mathematicsKaratzas is one of the leaders in the field of stochastics and financeA graduate-course text, written for readers familiar. Bestandsnummer des Verkäufers 5913072
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Brownian Motion and Stochastic Calculus
Verlag:
Springer New York, Springer US Aug 1991, 1991
ISBN 10: 0387976558
ISBN 13: 9780387976556
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Taschenbuch. Zustand: Neu. Neuware -This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization).This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 496 pp. Englisch. Bestandsnummer des Verkäufers 9780387976556
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Brownian Motion and Stochastic Calculus
Print-on-DemandAnbieter: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Deutschland
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Designed as a text for graduate courses in stochastic processes. Written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and this in turn permits a presentation of recent advances in financial economics (options pricing and consumption/investment optimization). The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The t ext is complemented by a large number of problems and exercises. 496 pp. Englisch. Bestandsnummer des Verkäufers 9780387976556
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)
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Brownian Motion and Stochastic Calculus
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