Brownian Motion, Martingales, and Stochastic Calculus - Graduate Texts in Mathematics

This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô's formula, the optional stopping theorem and Girsanov's theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter.

ISBN:	9783319310886
Publisher:	Springer International Publishing
Imprint:	Springer
Published date:	09 May 2016
DEWEY:	519.236
DEWEY edition:	23
Language:	English
Number of pages:	xi, 273
Weight:	576g
Height:	241mm
Width:	162mm
Spine width:	22mm

Write a review

Your Name:

Your Review: Note: HTML is not translated!

Rating: Bad           Good

Enter the code in the box below: