Brownian Motion, Martingales, and Stochastic Calculus by Jean-François Le Gall
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 It\u00F4'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 It\u00F4, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most
Brownian Motion, Martingales, and Stochastic Calculus
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Brownian Motion, Martingales, and Stochastic Calculus by Jean-François Le Gall
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 It\u00F4'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 It\u00F4, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most
Brownian Motion, Martingales, and Stochastic Calculus
Free UK delivery on this item.
This brand new item is available with free UK delivery using Royal Mail tracked services.
Plea;
Price now:
From
£35.62
To
£46.03
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Product Description
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 It\u00F4'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 It\u00F4, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most
Brownian Motion, Martingales, and Stochastic Calculus
Free UK delivery on this item.
This brand new item is available with free UK delivery using Royal Mail tracked services.
Plea;
Product Specifications
General | |
|---|---|
format | hardcover |
Language | english |
series | graduate texts in mathematics ser. |
type | study guide |
artist | not specified |
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