0
Your cart

Your cart is empty

Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics

Buy Now

Brownian Motion and Stochastic Calculus (Paperback, 2nd Corrected ed. 1998. Corr. 6th printing 2004) Loot Price: R2,076
Discovery Miles 20 760
Brownian Motion and Stochastic Calculus (Paperback, 2nd Corrected ed. 1998. Corr. 6th printing 2004): Ioannis Karatzas, Steven...

Brownian Motion and Stochastic Calculus (Paperback, 2nd Corrected ed. 1998. Corr. 6th printing 2004)

Ioannis Karatzas, Steven Shreve

Series: Graduate Texts in Mathematics, 113

 (sign in to rate)
Loot Price R2,076 Discovery Miles 20 760 | Repayment Terms: R195 pm x 12*

Bookmark and Share

Expected to ship within 10 - 15 working days

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.

General

Imprint: Springer-Verlag New York
Country of origin: United States
Series: Graduate Texts in Mathematics, 113
Release date: August 2004
First published: 1998
Authors: Ioannis Karatzas • Steven Shreve
Dimensions: 235 x 155 x 26mm (L x W x T)
Format: Paperback
Pages: 470
Edition: 2nd Corrected ed. 1998. Corr. 6th printing 2004
ISBN-13: 978-0-387-97655-6
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
Promotions
LSN: 0-387-97655-8
Barcode: 9780387976556

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

You might also like..

Best Books gegradeerde leesreeks: Vlak 1…
Best Books Paperback R90 R85 Discovery Miles 850
bundle available
Stochastic Processes and Their…
Christo Ananth, N. Anbazhagan, … Hardcover R7,630 Discovery Miles 76 300
Special Functions Of Fractional…
Trifce Sandev, Alexander Iomin Hardcover R2,709 Discovery Miles 27 090
Stochastic Komatu-loewner Evolutions
Zhen-Qing Chen, Masatoshi Fukushima, … Hardcover R2,698 Discovery Miles 26 980
Advancements in Bayesian Methods and…
Alastair G Young, Arni S.R. Srinivasa Rao, … Hardcover R7,475 Discovery Miles 74 750
Hidden Link Prediction in Stochastic…
Babita Pandey, Aditya Khamparia Hardcover R5,523 Discovery Miles 55 230
Stochastic Partial Differential…
Ciprian A. Tudor Hardcover R2,167 Discovery Miles 21 670
Geometry and Statistics, Volume 46
Frank Nielsen, Arni S.R. Srinivasa Rao, … Hardcover R7,454 Discovery Miles 74 540
Stochastic Models of Financial…
Vigirdas Mackevicius Hardcover R3,645 Discovery Miles 36 450
Optimal Input Signals for Parameter…
Ewaryst Rafajlowicz Hardcover R3,881 Discovery Miles 38 810
Informal Introduction To Stochastic…
Ovidiu Calin Hardcover R2,599 Discovery Miles 25 990
Informal Introduction To Stochastic…
Ovidiu Calin Paperback R1,351 Discovery Miles 13 510

See more

Partners