Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
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.
Available : In Stock.
FREE with Super Saver Shipping
Usually ships in 24 hours
You may be interested...
- Stochastic Differential Equations: An Introduction with Applications (Universitext)
- Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
- Diffusions, Markov Processes, and Martingales: Volume 1, Foundations (Cambridge Mathematical Library)
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
- Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus (Cambridge Mathematical Library)
If this Information is Not Updated, Please Check!!!
No comments:
Post a Comment