Brownian Motion and Stochastic Calculus - Rilegato

Karatzas, Ioannis; Shreve, Steven

Rilegato

ISBN 10: 0387965351 ISBN 13: 9780387965352

Casa editrice: Springer, 1987

Riassunto

Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of these ideas in the discrete-time setting, and who now wish to explore stochastic processes in their continuous­ time context. It has been our goal to write a systematic and thorough exposi­ tion of this subject, leading in many instances to the frontiers of knowledge. At the same time, we have endeavored to keep the mathematical prerequisites as low as possible, namely, knowledge of measure-theoretic probability and some familiarity with discrete-time processes. The vehicle we have chosen for this task is Brownian motion, which we present as the canonical example of both a Markov process and a martingale. We support this point of view by showing how, by means of stochastic integration and random time change, all continuous-path martingales and a multitude of continuous-path Markov processes can be represented in terms of Brownian motion. This approach forces us to leave aside those processes which do not have continuous paths. Thus, the Poisson process is not a primary object of study, although it is developed in Chapter 1 to be used as a tool when we later study passage times and local time of Brownian motion.

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Product Description

Book by Karatzas Ioannis Shreve Steven E

Dettagli dell?edizione

• Editore: Springer
• Data di pubblicazione: 1987
• Lingua: Inglese
• ISBN 10: 0387965351
• ISBN 13: 9780387965352
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 493
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania