Buch, Englisch, Band 274, 273 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 4394 g
Buch, Englisch, Band 274, 273 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 4394 g
Reihe: Graduate Texts in Mathematics
ISBN: 978-3-319-80961-8
Verlag: Springer International Publishing
Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides astrong theoretical background to the reader interested in such developments.
Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
Zielgruppe
Graduate
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Gaussian variables and Gaussian processes.- Brownian motion.- Filtrations and martingales.- Continuous semimartingales.- Stochastic integration.- General theory of Markov processes.- Brownian motion and partial differential equations.- Stochastic differential equations.- Local times.- The monotone class lemma.- Discrete martingales.- References.