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Brownian Motion And Stochastic Calculus Ioannis Karatzas Steven E Shreve

  • SKU: BELL-10451342
Brownian Motion And Stochastic Calculus Ioannis Karatzas Steven E Shreve
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Brownian Motion And Stochastic Calculus Ioannis Karatzas Steven E Shreve instant download after payment.

Publisher: Springer
File Extension: PDF
File size: 52.65 MB
Pages: 496
Author: Ioannis Karatzas; Steven E. Shreve
ISBN: 9781468403046, 1468403044
Language: English
Year: 2012

Product desciption

Brownian Motion And Stochastic Calculus Ioannis Karatzas Steven E Shreve by Ioannis Karatzas; Steven E. Shreve 9781468403046, 1468403044 instant download after payment.

This book is designed for a graduate course in stochastic processes. It is written for the reader who is familiar with measure-theoretic probability and the theory of discrete-time processes who is now ready to explore continuous-time stochastic processes. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a Markov process and a martingale in continuous time. The authors show how, by means of stochastic integration and random time change, all continuous martingales and many continuous Markov processes can be represented in terms of Brownian motion. The text is complemented by a large number of exercises.

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