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Brownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus

作者:Ioannis Karatzas,Ste

分类:文学

ISBN:9780387976556

出版时间:1991-8-25

出版社:Springer

标签: 数学  金融  金融数学  金融工程  Mathematics  quant  统计学 

内容简介

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.

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