Brownian Motion and Stochastic Calculus

Name: Brownian Motion and Stochastic Calculus
Price: 58.2 USD
Availability: InStock
ISBN: 9780387976556

ISBN-10: 0387976558

ISBN-13: 9780387976556

Edition: 2nd 1998 (Revised)

Authors: Ioannis Karatzas, Steven E. Shreve

List price: $64.95

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Description:

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…

Book details

List price: $64.95
Edition: 2nd
Copyright year: 1998
Publisher: Springer New York
Publication date: 8/16/1991
Binding: Paperback
Pages: 470
Size: 6.10" wide x 9.25" long x 0.36" tall
Weight: 1.804
Language: English



Martingales, Stopping Times, and Filtrations


Brownian Motion


Stochastic Integration


Brownian Motion and Partial Differential Equations


Stochastic Differential Equations


LFvy's Theory of Brownian Local Time