Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) (Volume 113)

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9780387976556: Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) (Volume 113)

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing 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, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The 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 whole is backed by a large number of problems and exercises.

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Second Edition

I. Karatzas and S.E. Shreve

Brownian Motion and Stochastic Calculus

"A valuable book for every graduate student studying stochastic process, and for those who are interested in pure and applied probability. The authors have done a good job."―MATHEMATICAL REVIEWS

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Ioannis Karatzas; Steven Shreve
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Book Description Springer, 1991. Soft cover. Book Condition: New. Dust Jacket Condition: New. International Edition. Clearance item. **INTERNATIONAL EDITION** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments go through via USPS/UPS/DHL with tracking numbers. Great professional textbook selling experience and expedite shipping service. Bookseller Inventory # ABE-1504697321553

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Book Description Springer-Verlag New York Inc., United States, 2005. Paperback. Book Condition: New. Language: English . Brand New Book. A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing 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, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The 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 whole is backed by a large number of problems and exercises. 2nd Corrected ed. 1998. Corr. 6th printing 2004. Bookseller Inventory # AAU9780387976556

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Book Description Springer-Verlag New York Inc., United States, 2005. Paperback. Book Condition: New. Language: English . Brand New Book. A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing 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, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The 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 whole is backed by a large number of problems and exercises. 2nd Corrected ed. 1998. Corr. 6th printing 2004. Bookseller Inventory # AAU9780387976556

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Book Description Springer, 1991. Paperback. Book Condition: New. 2nd. This item is printed on demand. Bookseller Inventory # DADAX0387976558

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Book Description Springer, 1991. Book Condition: New. 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. This book includes a number of problems and exercises. Series: Graduate Texts in Mathematics. Num Pages: 493 pages, biography. BIC Classification: PBT; PBWL. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 25. Weight in Grams: 728. . 1991. 2nd. Paperback. . . . . . Bookseller Inventory # V9780387976556

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