Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)

Ioannis Karatzas

ISBN 10: 0387976558 / ISBN 13: 9780387976556

Verlag: Springer, 1991

Beschreibung

Befriedigend/Good: Durchschnittlich erhaltenes Buch bzw. Schutzumschlag mit Gebrauchsspuren, aber vollständigen Seiten. / Describes the average WORN book or dust jacket that has all the pages present.

Bestandsnummer des Verkäufers M00387976558-G

Bibliografische Details

• Titel: Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
• Verlag: Springer
• Erscheinungsjahr: 1991
• Sprache: Englisch
• ISBN-10: 0387976558
• ISBN-13: 9780387976556
• Einband: Softcover
• Auflage: 2. Auflage
• Zustand: good

Über diesen Titel

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