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Download Brownian Motion and Stochastic Calculus (Springer-Verlag)

Brownian Motion and Stochastic Calculus (Springer-Verlag)

  • Author: J. Karatzas
  • Pages: 470
  • Language: English
  • ISBN/ASIN: 3540965351
  • ISBN13: 9783540965350
  • Upload date: 15-12-2016, 19:31
  • Category: Mathematics

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 exposition 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.

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