Stochastic Analysis

Häftad, Engelska, 2021

AvShigeo Kusuoka

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Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions.

Produktinformation

Utgivningsdatum2021-10-21
Mått155 x 235 x 13 mm
Vikt359 g
FormatHäftad
SpråkEngelska
SerieMonographs in Mathematical Economics
Antal sidor218
FörlagSpringer Verlag, Singapore
ISBN9789811588662

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“This book is an introductory course on stochastic analysis for advanced students with previous knowledge in probability theory and measure theory. … The presentation of the theory is detailed and rigorous, both in terms of results and proofs. … The book can be an excellent textbook for an introductory course on stochastic analysis, with a strong emphasis on the central notion of martingales.” (Josep Vives, Mathematical Reviews, April, 2022)