Brownian motion and stochastic calculus
by Ioannis Karatzas and Steven E. Shreve
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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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Subjects
Brownian motion processes, Stochastic analysis, Brownsche Bewegung, Processus stochastique, Équation différentielle stochastique, Processus de Mouvement brownien, Mouvement brownien, Stochastik, EDP, Stochastischer Prozess, Calcul stochastique, Analyse stochastique, Stetigkeit, Stochastische Analysis, Processus stochastiques, Brownian movements, Mathematics, Distribution (Probability theory), Probability Theory and Stochastic Processes, Análisis estocástico, Brownse beweging, Stochastische analyse| Edition | Availability |
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1
Brownian Motion and Stochastic Calculus
2014, Springer London, Limited
in English
1461209498 9781461209492
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Brownian Motion and Stochastic Calculus
2012, Springer London, Limited
in English
1468403028 9781468403022
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4
Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
August 25, 2004, Springer
in English
0387976558 9780387976556
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Brownian motion and stochastic calculus
1996, Springer
in English
- 2nd ed.
0387976558 9780387976556
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Brownian motion and stochastic calculus
1991, Springer-Verlag
in English
- 2nd ed.
0387976558 9780387976556
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Book Details
Edition Notes
Includes bibliographical references (p. [447]-458) and index.
"Springer study edition"--Cover.
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- Created April 1, 2008
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| March 20, 2025 | Edited by MARC Bot | import existing book |
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