<div>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 It¿¿s formula, the optional stopping theorem and Girsanov¿s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter.</div><div><br></div><div>Since its invention by It¿, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. <i>Brownian Motion, Martingales, and Stochastic Calculus</i> pr
Pris: kr 379.00 fra Norli
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<p>This textbook introduces readers to the fundamental notions of modern probability theory. The only prerequisite is a working knowledge in real analysis. Highlighting the connections between martingales and Markov chains on one hand, and Brownian...
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<p>This textbook offers an approachable introduction to stochastic processes that explores the four pillars of random walk, branching processes, Brownian motion, and martingales. Building from simple examples, the authors focus on developing context...
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<b>BROWNIAN MOTION CALCULUS</b><p><i>Brownian Motion Calculus</i> presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical...
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<P>"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability...
kr 719.00
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