Brownian Motion, Martingales, and Stochastic Calculus

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 Itô's formula, the optional stopping theorem and Girsanov's theorem, a...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Le Gall, Jean-François (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:Graduate Texts in Mathematics, 274
Temas:
Probabilities.
Social sciences > Mathematics.
Measure theory.
Mathematical models.
System theory.
Control theory.
Probability Theory.
Mathematics in Business, Economics and Finance.
Measure and Integration.
Mathematical Modeling and Industrial Mathematics.
Systems Theory, Control .
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Gaussian variables and Gaussian processes
  • Brownian motion
  • Filtrations and martingales
  • Continuous semimartingales
  • Stochastic integration
  • General theory of Markov processes
  • Brownian motion and partial differential equations
  • Stochastic differential equations
  • Local times
  • The monotone class lemma
  • Discrete martingales
  • References.

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