Brownian Motion and Stochastic Calculus
This book is designed as a text for graduate courses in shastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore shastic 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 shastic integration and shastic 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).
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This book contains a detailed discussion of weak and strong solutions of shastic 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.
Brownian Motion and Stochastic Calculus
This book is designed as a text for graduate courses in shastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore shastic 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 shastic integration and shastic 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 shastic 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.
64.95
In Stock
5
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Brownian Motion and Stochastic Calculus
470
Brownian Motion and Stochastic Calculus
470Paperback(2nd ed. 1998)
$64.95
64.95
In Stock
Product Details
ISBN-13: | 9780387976556 |
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Publisher: | Springer New York |
Publication date: | 08/16/1991 |
Series: | Graduate Texts in Mathematics , #113 |
Edition description: | 2nd ed. 1998 |
Pages: | 470 |
Product dimensions: | 6.10(w) x 9.25(h) x 0.36(d) |
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