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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.
Nákup knihy
Brownian Motion and Stochastic Calculus, Ioannis Karatzas, Steven Shreve
- Jazyk
- Rok vydania
- 1991
- Väzba
- (mäkká)
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- Titul
- Brownian Motion and Stochastic Calculus
- Jazyk
- anglicky
- Autori
- Ioannis Karatzas, Steven Shreve
- Rok vydania
- 1991
- Väzba
- mäkká
- Počet strán
- 470
- ISBN13
- 9780387976556
- Série
- Hodnotenie
- 3,85 z 5
- Anotácia
- 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.