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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Le Gall, Jean-François (Auteur)
Collectivité auteur: SpringerLink (Online service)
Format: Électronique eBook
Langue:Inglés
Publié: Cham : Springer International Publishing : Imprint: Springer, 2016.
Édition:1st ed. 2016.
Collection:Graduate Texts in Mathematics, 274
Sujets:
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 .
Accès en ligne:Texto Completo
Table des matières:
  • 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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