Brownian Motion and Stochastic Calculus 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Ioannis Karatzas 作者

Springer

译者

1991-8-25 出版日期

470 页数

USD 64.95 价格

Paperback

Graduate Texts in Mathematics 丛书系列

9780387976556 图书编码

Brownian Motion and Stochastic Calculus 在线电子书图书标签: 数学金融金融数学金融工程 Mathematics 统计学 quant Probability

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发表于2024-12-31

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Brownian Motion and Stochastic Calculus 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

Brownian Motion and Stochastic Calculus 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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最近在读Sannikov的论文，引用了很多这书里习题的结论，于是打回重读了，对于想了解连续时间框架的，这书要全读/题全刷。

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好书，就是notation看得不习惯

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题暂时没时间刷了。做Diffusion的我觉得都需要至少过一遍这本书。

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这不是金融书！这是数学书！

评分☆☆☆☆☆

最近在读Sannikov的论文，引用了很多这书里习题的结论，于是打回重读了，对于想了解连续时间框架的，这书要全读/题全刷。

Brownian Motion and Stochastic Calculus 在线电子书著者简介

Brownian Motion and Stochastic Calculus 在线电子书图书目录

Brownian Motion and Stochastic Calculus 在线电子书 pdf 下载 txt下载 epub 下载 mobi 在线电子书下载

Brownian Motion and Stochastic Calculus 在线电子书图书描述

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.

Brownian Motion and Stochastic Calculus 在线电子书下载 mobi epub pdf txt 在线电子书下载

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