Can I read Brownian Motion and Stochastic Calculus, 2nd Edition on EtoBox?

Brownian Motion and Stochastic Calculus, 2nd Edition by Ioannis Karatzas, Steven Shreve, Steven E. Shreve is a nonfiction available to read on EtoBox.

What is Brownian Motion and Stochastic Calculus, 2nd Edition about?

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.

Who reads Brownian Motion and Stochastic Calculus, 2nd Edition?

Author

Ioannis Karatzas, Steven Shreve, Steven E. Shreve

Publisher

Springer New York : Imprint : Springer

Published

1998

Language

EN

ISBN

9780387976556

Category

nonfiction

Subjects

Mathematics, Science, Physics