ENGLISH

Brownian Motion and Stochastic Calculus

By Ioannis Karatzas , Steven E. Shreve (auth.)

Book information

Publisher
Springer US
Year
1988
ISBN
978-1-4684-0304-6, 978-1-4684-0302-2
DOI
10.1007/978-1-4684-0302-2
Language
english
Format
PDF
Filesize
18 MB (18607511 bytes)
Series
Graduate Texts in Mathematics 113
Pages
XXIII, 470 pp. 10 figs.\490
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Probability Theory and Stochastic Processes

Description

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.

Similar books