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Mouvement brownien, martingales et calcul stochastique (French, Paperback, 2013 ed.) Loot Price: R2,366
Discovery Miles 23 660
Mouvement brownien, martingales et calcul stochastique (French, Paperback, 2013 ed.): Jean-Francois Le Gall

Mouvement brownien, martingales et calcul stochastique (French, Paperback, 2013 ed.)

Jean-Francois Le Gall

Series: Mathematiques et Applications, 71

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Loot Price R2,366 Discovery Miles 23 660 | Repayment Terms: R222 pm x 12*

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Cet ouvrage propose une approche concise mais complete de la theorie de l'integrale stochastique dans le cadre general des semimartingales continues. Apres une introduction au mouvement brownien et a ses principales proprietes, les martingales et les semimartingales continues sont presentees en detail avant la construction de l'integrale stochastique. Les outils du calcul stochastique, incluant la formule d'Ito, le theoreme d'arret et de nombreuses applications, sont traites de maniere rigoureuse. Le livre contient aussi un chapitre sur les processus de Markov et un autre sur les equations differentielles stochastiques, avec une preuve detaillee des proprietes markoviennes des solutions. De nombreux exercices permettent au lecteur de se familiariser avec les techniques du calcul stochastique.

This book offers a rigorous and self-contained approach to the theory of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Ito's formula, the optional stopping theorem and the Girsanov theorem are treated in detail including many important applications. Two chapters are devoted to general Markov processes and to stochastic differential equations, with a complete derivation of Markovian properties of solutions in the Lipschitz case. Numerous exercises help the reader to get acquainted with the techniques of stochastic calculus."

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Mathematiques et Applications, 71
Release date: September 2012
First published: 2013
Authors: Jean-Francois Le Gall
Dimensions: 235 x 155 x 13mm (L x W x T)
Format: Paperback
Pages: 176
Edition: 2013 ed.
ISBN-13: 978-3-642-31897-9
Languages: French
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
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LSN: 3-642-31897-5
Barcode: 9783642318979

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