Brownian Motion and Stochastic Calculus

Steven Shreve

ISBN 10: 0387976558 / ISBN 13: 9780387976556

Edité par Springer New York, Springer US Aug 1991, 1991

A propos de cet article

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

Détails bibliographiques

• Titre: Brownian Motion and Stochastic Calculus
• Éditeur: Springer New York, Springer US Aug 1991
• Date de parution: 1991
• Langue: anglais
• ISBN à 10 chiffres: 0387976558
• ISBN à 13 chiffres: 9780387976556
• Reliure: Taschenbuch
• Édition: 2ème Édition
• État de l'article: Neu
• Dimensions: 235 L x 155 H x 27 P (en millimètres) 235 millimètres de largeur par 155 millimètres de hauteur par 27 millimètres de profondeur
• Poids: 744 grammes

A propos de ce titre

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.

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.