Brownian Motion and Stochastic Calculus pdf epub mobi txt 電子書下載2025

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出版者:Springer

作者:Ioannis Karatzas

出品人:

頁數:470

译者:

出版時間:1991-8-25

價格:USD 64.95

裝幀:Paperback

isbn號碼:9780387976556

叢書系列:Graduate Texts in Mathematics

圖書標籤:

數學
金融
金融數學
金融工程
Mathematics
統計學
quant
Probability

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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.