Brownian Motion and Stochastic Calculus

by Steven E. Shreve, Ioannis Karatzas, S.E. Shreve, et al.

Book Overview

This book is designed as a text for graduate courses in stochastic processes. It 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 text is complemented by a large number of problems and exercises.

• Format: Paperback
• Language: English
• ISBN: 0387976558
• ISBN13: 9780387976556
• Release Date: August 1991
• Publisher: Springer
• Length: 470 Pages
• Weight: 1.55 lbs.
• Dimensions: 1.1" x 6.1" x 9.1"