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Brownian Motion and Stochastic Calculus读书介绍

类别 页数 译者 网友评分 年代 出版社
书籍 470页 8.4 2020 Springer
定价 出版日期 最近访问 访问指数
USD 64.95 2020-02-20 … 2021-10-16 … 87
主题/类型/题材/标签
数学,金融,金融工程,金融数学,Mathematics,统计学,quant,
作者
Ioannis Karatzas      ISBN:9780387976556    原作名/别名:《》
内容和作者简介
Brownian Motion and Stochastic Calculus摘要

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 stoc...

作者简介

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.

本书后续版本
未发行或暂未收录
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