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  • Ký hiệu PL/XG: 519.23 B8851
    Nhan đề: Brownian motion, martingales, and stochastic calculus /
ISBN 9783319310886
DDC 519.23
Nhan đề Brownian motion, martingales, and stochastic calculus / [edited by] Jean-Francois Le Gall.
Thông tin xuất bản Switzerland : Springer, 2016
Mô tả vật lý 282 pages. : illustrations
Tóm tắt 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. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
Thuật ngữ chủ đề Stochastic processes
Thuật ngữ chủ đề Brownian motion processes
Thuật ngữ chủ đề Martingales (Mathematics)
Thuật ngữ chủ đề Stochastic analysis
Từ khóa tự do Mathematics
Từ khóa tự do Calculus
Từ khóa tự do Mathematical models
Từ khóa tự do Economics, Mathematical
Khoa Khoa Cơ bản
Tác giả(bs) CN Le Gall, J. F.
Địa chỉ Thư Viện Đại học Nguyễn Tất Thành
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041 |aeng
044 |asz
082 |a519.23|bB8851|223
245 |aBrownian motion, martingales, and stochastic calculus /|c[edited by] Jean-Francois Le Gall.
260 |aSwitzerland : |bSpringer, |c2016
300 |a282 pages. : |billustrations
504 |aIncludes bibliographical references (pages 277-279) and index.
520 |aThis 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. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
541 |aSpringer
650 |aStochastic processes
650 |aBrownian motion processes
650 |aMartingales (Mathematics)
650 |aStochastic analysis
653 |aMathematics
653 |aCalculus
653 |aMathematical models
653 |aEconomics, Mathematical
690 |aKhoa Cơ bản
700 |aLe Gall, J. F.
852 |aThư Viện Đại học Nguyễn Tất Thành
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