Brownian Motion and Stochastic Calculus

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

Book Overview

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...

• 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"