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

Shreve, Steven,Karatzas, Ioannis

ISBN 10: 0387976558 / ISBN 13: 9780387976556

Published by Springer, 1991

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Bibliographic Details

• Title: Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics (113))
• Publisher: Springer
• Publication Date: 1991
• Language: English
• ISBN 10: 0387976558
• ISBN 13: 9780387976556
• Binding: Paperback
• Edition: 2nd Edition
• Condition: Good

About this title

Synopsis

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.

Review

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