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, 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. Since its invention by Itô, 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. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments.
Brownian Motion, Martingales, and Stochastic Calculus Free Download
October 13, 2022
You may also like
CALCULUS MATHEMATICS
Calculus A New Horizon, Combined, 6th Edition by Howard Anton PDF
February 9, 2024
The new Sixth Edition of Anton’s Calculus is a contemporary text that incorporates the best features of calculus reform, yet preserves the main structure...
Precálculo 2ed es adaptable y está diseñado para satisfacer las necesidades de diversos cursos de precálculo. Es un texto integral que abarca más temas que un...
CALCULUS MATHEMATICS
Calculus & Its Applications, 14th Edition by Larry Goldstein PDF
January 8, 2024
Calculus & Its Applications builds intuition with key concepts of calculus before the analytical material. For example, the authors explain the derivative...
Recent Posts
- Algebra 3 Homological Algebra and Its Applications by Ramji Lal PDF
- Heat Transfer Physics 2nd Edition By Massoud Kaviany PDF
- Lavin’s Radiography for Veterinary Technicians, 6th Edition by Marg Brown PDF
- Principles of Physics, 10th Edition by David Halliday PDF
- The Dog Behavior Problem Solver by Teoti Anderson PDF
Add Comment