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Item Details
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| Title:
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BROWNIAN MOTION AND STOCHASTIC CALCULUS
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| By: |
Ioannis Karatzas, Steven E. Shreve |
| Format: |
Paperback |
| List price:
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£44.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
0387976558 |
| ISBN 13: |
9780387976556 |
| Publisher: |
SPRINGER-VERLAG NEW YORK INC. |
| Pub. date: |
25 August, 2004 |
| Edition: |
2nd Corrected ed. 1998. Corr. 6th printing 2004 |
| Series: |
Graduate Texts in Mathematics v. 113 |
| Pages: |
470 |
| Description: |
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. This book includes a number of problems and exercises. |
| Synopsis: |
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. |
| Illustrations: |
biography |
| Publication: |
US |
| Imprint: |
Springer-Verlag New York Inc. |
| Returns: |
Returnable |
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