عنوان

Brownian motion, martingales, and stochastic calculus /

شابک

3319310887

شابک

3319310895

شابک

9783319310886

شابک

9783319310893

شابک اشتباه

9783319310886

کد کشور

bnb

شماره

b623957

عنوان اصلي

Brownian motion, martingales, and stochastic calculus /

نام عام مواد

[Book]

نام نخستين پديدآور

Jean-François Le Gall.

نام خاص و کميت اثر

1 online resource (xi, 273 pages) :

ساير جزييات

illustrations (some color)

عنوان فروست

Graduate texts in mathematics,

مشخصه جلد

274

شاپا ي ISSN فروست

0072-5285 ;

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

Gaussian variables and Gaussian processes -- Brownian motion -- Filtrations and martingales -- Continuous semimartingales -- Stochastic integration -- General theory of Markov processes -- Brownian motion and partial differential equations -- Stochastic differential equations -- Local times -- The monotone class lemma -- Discrete martingales -- References.

بدون عنوان

0

متن يادداشت

This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô?s formula, the optional stopping theorem and Girsanov?s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix. 9783319310893

شماره استاندارد بين المللي کتاب و موسيقي

9783319310886

موضوع مستند نشده

Brownian motion processes.

موضوع مستند نشده

Martingales (Mathematics)

موضوع مستند نشده

Brownian motion processes.

موضوع مستند نشده

Cybernetics & systems theory.

موضوع مستند نشده

Finance & accounting.

موضوع مستند نشده

Integral calculus & equations.

موضوع مستند نشده

Martingales (Mathematics)

موضوع مستند نشده

Mathematical modelling.

موضوع مستند نشده

Mathematics-- Applied.

موضوع مستند نشده

Mathematics-- Mathematical Analysis.

موضوع مستند نشده

Mathematics-- Probability & Statistics-- General.

موضوع مستند نشده

Probability & statistics.

موضوع مستند نشده

Science-- System Theory.

موضوع مستند نشده

MAT029000

موضوع مستند نشده

PBT

موضوع مستند نشده

PBWL

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Le Gall, J. F., (Jean-François)

تاريخ عمليات

20201221083058.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

کد کاربرگه

270410

تكميل شده

Y