Brownian Motion and Stochastic Calculus

Shreve Steven Karatzas Ioannis

ISBN 10: 0387976558 / ISBN 13: 9780387976556

Published by Springer, 1991

About this Item

pp. 496 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.

Seller Inventory # 7590600

Bibliographic Details

• Title: Brownian Motion and Stochastic Calculus
• Publisher: Springer
• Publication Date: 1991
• Language: English
• ISBN 10: 0387976558
• ISBN 13: 9780387976556
• Binding: Soft cover
• Edition: 2nd Edition
• Condition: New

About this title

Synopsis

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.

Review

Second Edition

I. Karatzas and S.E. Shreve

Brownian Motion and Stochastic Calculus

"A valuable book for every graduate student studying stochastic process, and for those who are interested in pure and applied probability. The authors have done a good job."―MATHEMATICAL REVIEWS