Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) Book + PRICE WATCH * Amazon pricing is not included in price watch

Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) Book

Designed as a text for graduate courses in stochastic processes, this book is intended 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).Read More

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  • 3540976558
  • 9783540976554
  • Ioannis Karatzas, S.E. Shreve
  • 1 January 1999
  • Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Paperback (Book)
  • 470
  • New edition
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