Brownian Motion and Stochastic Calculus

Name: Brownian Motion and Stochastic Calculus
SKU: 2696720
Price: 166.99 AUD
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Paperback / softback

Series:

Graduate Texts in Mathematics,

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Description

This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish 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. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This 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 text is complemented by a large number of problems and exercises.

Release date Australia

August 16th, 1991

Author

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Edition

2nd ed. 1998

Illustrations

XXIII, 470 p.

Pages

470

Series

Graduate Texts in Mathematics,

Dimensions

155x235x25

ISBN-13

9780387976556

Product ID

2696720

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