Brownian Motion and Stochastic Calculus: 113 (Graduate Texts in Mathematics)

Karatzas, Ioannis; Shreve, Steven

ISBN 10: 0387976558 / ISBN 13: 9780387976556

Verlag: Springer, 1991

Ancien livre de bibliothèque avec équipements. Edition 1991. Ammareal reverse jusqu'à 15% du prix net de cet article à des organisations caritatives. ENGLISH DESCRIPTION Book Condition: Used, Very good. Former library book. Edition 1991. Ammareal gives back up to 15% of this item's net price to charity organizations. Bestandsnummer des Verkäufers G-883-384

Inhaltsangabe:

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.

Críticas:

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

Bibliografische Details

Titel: Brownian Motion and Stochastic Calculus: 113...
Verlag: Springer
Erscheinungsdatum: 1991
Einband: Softcover
Zustand: Très bon
Auflage: 2. Auflage