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Brownian Motion, Martingales, and Stochastic Calculus
Jean-Francois Le Gall
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Description for Brownian Motion, Martingales, and Stochastic Calculus
Hardback. Series: Graduate Texts in Mathematics. Num Pages: 286 pages, 4 black & white illustrations, 1 colour illustrations, 1 colour tables, biography. BIC Classification: GPFC; KF; PBKL; PBT; PBWH. Category: (G) General (US: Trade). Dimension: 246 x 164 x 21. Weight in Grams: 592.
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 Ito'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 Ito, stochastic calculus has proven to be one of the most ... Read more
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 Ito'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 Ito, stochastic calculus has proven to be one of the most ... Read more
Product Details
Publisher
Springer International Publishing AG
Format
Hardback
Publication date
2016
Series
Graduate Texts in Mathematics
Condition
New
Weight
591g
Number of Pages
273
Place of Publication
Cham, Switzerland
ISBN
9783319310886
SKU
V9783319310886
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-2
About Jean-Francois Le Gall
Jean-Francois Le Gall is a well-known specialist of probability theory and stochastic processes. His main research achievements are concerned with Brownian motion, superprocesses and their connections with partial differential equations, and more recently random trees and random graphs. He has been awarded several international prizes in mathematics, including the Loeve Prize and the Fermat Prize, and gave a plenary lecture ... Read more
Reviews for Brownian Motion, Martingales, and Stochastic Calculus
'The aim of this book is to provide a rigorous introduction to the theory of stochastic calculus for continuous semi-martingales putting a special emphasis on Brownian motion.' ... If the reader has the background and needs a rigorous treatment of the subject this book would be a good choice. Le Gall writes clearly and gets to the point quickly ... ... Read more