Brownian Motion and Stochastic Calculus:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
1998
|
| Ausgabe: | Second Edition |
| Schriftenreihe: | Graduate Texts in Mathematics
113 |
| Schlagworte: | |
| Online-Zugang: | Volltext Buchcover |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XXIII, 470 p) |
| ISBN: | 9781461209492 9780387976556 |
| ISSN: | 0072-5285 |
| DOI: | 10.1007/978-1-4612-0949-2 |
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Datensatz im Suchindex
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| author | Karatzas, Ioannis |
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| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4612-0949-2 |
| edition | Second Edition |
| format | Electronic eBook |
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| isbn | 9781461209492 9780387976556 |
| issn | 0072-5285 |
| language | English |
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| spelling | Karatzas, Ioannis Verfasser aut Brownian Motion and Stochastic Calculus by Ioannis Karatzas, Steven E. Shreve Second Edition New York, NY Springer New York 1998 1 Online-Ressource (XXIII, 470 p) txt rdacontent c rdamedia cr rdacarrier Graduate Texts in Mathematics 113 0072-5285 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 Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastik (DE-588)4121729-9 gnd rswk-swf Stetigkeit (DE-588)4183167-6 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Brownsche Bewegung (DE-588)4128328-4 gnd rswk-swf Brownsche Bewegung (DE-588)4128328-4 s Stochastische Analysis (DE-588)4132272-1 s 1\p DE-604 Stochastischer Prozess (DE-588)4057630-9 s 2\p DE-604 Stetigkeit (DE-588)4183167-6 s 3\p DE-604 Stochastik (DE-588)4121729-9 s 4\p DE-604 Shreve, Steven E. Sonstige oth https://doi.org/10.1007/978-1-4612-0949-2 Verlag Volltext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027855103&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Buchcover 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Karatzas, Ioannis Brownian Motion and Stochastic Calculus Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastik (DE-588)4121729-9 gnd Stetigkeit (DE-588)4183167-6 gnd Stochastische Analysis (DE-588)4132272-1 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Brownsche Bewegung (DE-588)4128328-4 gnd |
| subject_GND | (DE-588)4121729-9 (DE-588)4183167-6 (DE-588)4132272-1 (DE-588)4057630-9 (DE-588)4128328-4 |
| title | Brownian Motion and Stochastic Calculus |
| title_auth | Brownian Motion and Stochastic Calculus |
| title_exact_search | Brownian Motion and Stochastic Calculus |
| title_full | Brownian Motion and Stochastic Calculus by Ioannis Karatzas, Steven E. Shreve |
| title_fullStr | Brownian Motion and Stochastic Calculus by Ioannis Karatzas, Steven E. Shreve |
| title_full_unstemmed | Brownian Motion and Stochastic Calculus by Ioannis Karatzas, Steven E. Shreve |
| title_short | Brownian Motion and Stochastic Calculus |
| title_sort | brownian motion and stochastic calculus |
| topic | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastik (DE-588)4121729-9 gnd Stetigkeit (DE-588)4183167-6 gnd Stochastische Analysis (DE-588)4132272-1 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Brownsche Bewegung (DE-588)4128328-4 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Mathematik Stochastik Stetigkeit Stochastische Analysis Stochastischer Prozess Brownsche Bewegung |
| url | https://doi.org/10.1007/978-1-4612-0949-2 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027855103&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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