Brownian Motion and Stochastic Calculus is popular PDF and ePub book, written by Ioannis Karatzas in 2014-03-27, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Brownian Motion and Stochastic Calculus can be Read Online from any device for your convenience.
Brownian Motion and Stochastic Calculus Book PDF Summary
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.
Detail Book of Brownian Motion and Stochastic Calculus PDF
- Author : Ioannis Karatzas
- Release : 27 March 2014
- Publisher : Springer
- ISBN : 9781461209492
- Genre : Mathematics
- Total Page : 490 pages
- Language : English
- PDF File Size : 9,7 Mb
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