Brownian Motion and Stochastic Calculus
By:Ioannis Karatzas,Steven Shreve
Published on 2014-03-27 by Springer
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.
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Book ID of Brownian Motion and Stochastic Calculus's Books is w0SgBQAAQBAJ, Book which was written byIoannis Karatzas,Steven Shrevehave ETAG "04s5lAjZSmU"
Book which was published by Springer since 2014-03-27 have ISBNs, ISBN 13 Code is 9781461209492 and ISBN 10 Code is1461209498
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