Brownian Motion and Stochastic Calculus

Autor*innen

• Ioannis Karatzas
• Steven E. Shreve

Parameter

• 470 Seiten
• 17 Lesestunden

• Handbücher und Anleitungen
• Lehrbücher
• Mathematik
• Ökonomie
• Wirtschaft

Mehr zum Buch

This book serves as a graduate-level text on stochastic processes, focusing on continuous-time processes through Brownian motion. It covers stochastic integration, calculus, and applications in financial economics, including option pricing. The text includes discussions on stochastic differential equations and local time, along with numerous exercises.

• Sprache: Englisch
• Erscheinungsdatum: 1991
• Einband: Paperback