Brownian Motion, Martingales, and Stochastic Calculus
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated...
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| Autor Corporativo: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing
2016.
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| Colección: | Graduate Texts in Mathematics ;
274. Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b33298762*spi |
Tabla de Contenidos:
- Gaussian variables and Gaussian processes
- Brownian motion
- Filtrations and martingales
- Continuous semimartingales
- Stochastic integration
- General theory of Markov processes
- Brownian motion and partial differential equations
- Stochastic differential equations
- Local times
- The monotone class lemma
- Discrete martingales
- References.
