Brownian Motion and Stochastic Calculus

This book PDF is perfect for those who love Mathematics genre, written by Ioannis Karatzas and published by Springer which was released on 27 March 2014 with total hardcover pages 490. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Brownian Motion and Stochastic Calculus books below.

Brownian Motion and Stochastic Calculus
Brownian Motion and Stochastic Calculus
Author : Ioannis Karatzas
File Size : 51,7 Mb
Publisher : Springer
Language : English
Release Date : 27 March 2014
ISBN : 9781461209492
Pages : 490 pages
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Brownian Motion and Stochastic Calculus by Ioannis Karatzas Book PDF Summary

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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