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Brownian Motion, Martingales, and Stochastic Calculus (Graduate Texts in Mathematics Book 274) by Gall, Jean-François Le is a nonfiction available to read on EtoBox.

What is Brownian Motion, Martingales, and Stochastic Calculus (Graduate Texts in Mathematics Book 274) about?

Mathematics Subject Classification (2010): 60H05 Stochastic integrals • 60G44 Martingales with continuous parameter • 60J65 Brownian motion • 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) • 60J55 Local time and additive functionals • 60J25 Continuous-time Markov processes on general state spacesThis 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 s

Who reads Brownian Motion, Martingales, and Stochastic Calculus (Graduate Texts in Mathematics Book 274)?

Author

Gall, Jean-François Le

Publisher

Springer, Springer Nature, Springer International Publishing AG

Published

2016

Language

EN

ISBN

9783319310893

Category

nonfiction

Subjects

Mathematics, Science, Probability

Updated

2026-03-24