Articles liés à Brownian Motion and Stochastic Calculus
Synopsis
This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes, who wish 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. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This 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 text is complemented by a large number of problems and exercises.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
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Springer, 1991
ISBN 10 : 0387976558
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Brownian Motion and Stochastic Calculus. (Graduate Texts in Mathematics, 113, Band 113).
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New York. Springer-Verlag., 1991
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kartoniert. Etat : Sehr gut. Zust: Gutes Exemplar. 496 S. Englisch 700g. N° de réf. du vendeur 494905
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Brownian Motion and Stochastic Calculus
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Springer New York, 1991
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Kartoniert / Broschiert. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. A perennial best-seller, now in its fourth printingBrownian motion is currently a hot topic in mathematicsKaratzas is one of the leaders in the field of stochastics and financeA graduate-course text, written for readers familiar. N° de réf. du vendeur 5913072
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)
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Etat : New. In English. N° de réf. du vendeur ria9780387976556_new
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Brownian Motion and Stochastic Calculus
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Springer New York Aug 1991, 1991
ISBN 10 : 0387976558
ISBN 13 : 9780387976556
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Designed as a text for graduate courses in stochastic processes. Written for readers familiar with measure-theoretic probability and discrete-time processes who wish 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. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and this in turn permits a presentation of recent advances in financial economics (options pricing and consumption/investment optimization). 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 t ext is complemented by a large number of problems and exercises. 496 pp. Englisch. N° de réf. du vendeur 9780387976556
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
Vendeur : Chiron Media, Wallingford, Royaume-Uni
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Paperback. Etat : New. N° de réf. du vendeur 6666-IUK-9780387976556
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Brownian Motion and Stochastic Calculus
Edité par
Springer, 1991
ISBN 10 : 0387976558
ISBN 13 : 9780387976556
Ancien ou d'occasion
Couverture souple
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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Brownian Motion and Stochastic Calculus
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Springer New York, Springer US Aug 1991, 1991
ISBN 10 : 0387976558
ISBN 13 : 9780387976556
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Taschenbuch. Etat : Neu. Neuware -This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish 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. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization).This 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 text is complemented by a large number of problems and exercises.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 496 pp. Englisch. N° de réf. du vendeur 9780387976556
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Brownian Motion and Stochastic Calculus
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Springer/Sci-Tech/Trade, 1991
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ISBN 13 : 9780387976556
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Softcover
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Softcover. Etat : Good+. Moderate wear. Clean with no highlighting or writing detected on any pages. Cover has modest wear with minor scuffs/bends on some corners or edges. 30-day returns. Free shipping in Canada. International shipments may be subject to custom duties or other charges in accordance with the particular laws of the buyer's country but shipments to the United States should be exempt from customs since the book was published in the United States. ; Volume 113; 6.1 X 1.12 X 9.25 inches; 470 pages. N° de réf. du vendeur 7550
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Brownian Motion and Stochastic Calculus
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Springer-Verlag New York Inc., US, 1991
ISBN 10 : 0387976558
ISBN 13 : 9780387976556
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Paperback
Vendeur : Rarewaves.com UK, London, Royaume-Uni
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Paperback. Etat : New. 2nd ed. 1998. This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish 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. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This 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 text is complemented by a large number of problems and exercises. N° de réf. du vendeur LU-9780387976556
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