ENGLISH

Brownian Motion and Stochastic Calculus, 2nd Edition

By Ioannis Karatzas , Steven E. Shreve

Book information

Publisher
Springer
Year
1996
ISBN
0387976558, 9780387976556, 3540976558, 9783540976554
LCC
QA274.75 .K37 1991
Google Books ID
ATNy_Zg3PSsC
Open Library ID
OL1543776M
Language
english
Format
PDF
Filesize
4 MB (3699904 bytes)
Series
Graduate texts in mathematics volume 113
Edition
2nd
Pages
493\493
Orientation
yes
Scanned
yes
Time added
2012-03-09 12:00:00

Description

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing 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, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.

Similar books