Brownian Motion and Stochastic Calculus 2025 pdf epub mobi 电子书

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发表于2025-01-22

Brownian Motion and Stochastic Calculus 2025 pdf epub mobi 电子书

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这本书的特点是非常全面，一切关于布朗运动的知识、连续半鞅随机积分ITO公式的各种变形，都可以从该书找到，不是正文就是习题。写得也极具启发性，比如和一个stopping time相联系的sigma代数filtration，一般的书都是直接给出个定义，只有这本书解释了为什么会有这样的定...

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这书写作上有些问题。读前两章时根本不知道作者要干什么，直到读到第三章，才发现原来这是一本关于鞅论的书。读到四五章才明白前面忙活半天是为了什么。到最后一章又不明白作者要干什么了。这完全是本反方向的书，既不从特殊到一般，又不从应用引出理论。上来就直接对鞅对局部...

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出版者:Springer

作者:Ioannis Karatzas

出品人:

页数:470

译者:

出版时间:1991-8-25

价格:USD 64.95

装帧:Paperback

isbn号码:9780387976556

丛书系列:Graduate Texts in Mathematics

图书标签: 数学金融金融数学金融工程 Mathematics 统计学 quant Probability

Brownian Motion and Stochastic Calculus 2025 pdf epub mobi 电子书图书描述

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.

Brownian Motion and Stochastic Calculus 2025 pdf epub mobi 电子书

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