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Brownian Motion and Stochastic Calculus

De (autor): Ioannis Karatzas

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Brownian Motion and Stochastic Calculus - Ioannis Karatzas

Brownian Motion and Stochastic Calculus

De (autor): Ioannis Karatzas

review Goodreads
This book is designed as a text for graduate courses in stochastic processes. It 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 text is complemented by a large number of problems and exercises.
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513.43Lei

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604.03 Lei

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Descrierea produsului

This book is designed as a text for graduate courses in stochastic processes. It 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 text is complemented by a large number of problems and exercises.
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