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Sto caricando le informazioni... Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics (113)) (edizione 1991)di Ioannis Karatzas (Autore)
Informazioni sull'operaBrownian Motion and Stochastic Calculus di Ioannis Karatzas
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Appartiene alle Collane Editoriali
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. Non sono state trovate descrizioni di biblioteche |
Discussioni correntiNessunoCopertine popolari
Google Books — Sto caricando le informazioni... GeneriSistema Decimale Melvil (DDC)530.475Natural sciences and mathematics Physics Physics States of matterClassificazione LCVotoMedia:
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