Klik på en miniature for at gå til Google Books
Indlæser... Brownian Motion and Stochastic Calculusaf Ioannis Karatzas, Steven E. Shreve
Indlæser...
Bliv medlem af LibraryThing for at finde ud af, om du vil kunne lide denne bog. Der er ingen diskussionstråde på Snak om denne bog. Ingen anmeldelser ingen anmeldelser | tilføj en anmeldelse
Tilhører Forlagsserien
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. No library descriptions found. |
Current DiscussionsIngenPopulære omslag
Google Books — Indlæser... GenrerMelvil Decimal System (DDC)530.475Natural sciences and mathematics Physics Physics States of matterLC-klassificeringVurderingGennemsnit:
Er det dig?Bliv LibraryThing-forfatter. |