9780387976556-0387976558-Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)

Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)

ISBN-13: 9780387976556
ISBN-10: 0387976558
Edition: 2nd
Author: Steven Shreve, Ioannis Karatzas
Publication date: 1991
Publisher: Springer
Format: Paperback 493 pages
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ISBN-13: 9780387976556
ISBN-10: 0387976558
Edition: 2nd
Author: Steven Shreve, Ioannis Karatzas
Publication date: 1991
Publisher: Springer
Format: Paperback 493 pages

Summary

Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113) (ISBN-13: 9780387976556 and ISBN-10: 0387976558), written by authors Steven Shreve, Ioannis Karatzas, was published by Springer in 1991. With an overall rating of 4.3 stars, it's a notable title among other Applied (Mechanics, Physics, Mathematics) books. You can easily purchase or rent Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113) (Paperback) from BooksRun, along with many other new and used Applied books and textbooks. And, if you're looking to sell your copy, our current buyback offer is $14.05.

Description

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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