Brownian Motion, Martingales, and Stochastic Calculus

by Jean-François Le Gall

This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including It 's formula, the optional stopping theorem and Girsanov's theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic...

• Format: Paperback
• Language: English
• ISBN: 331980961X
• ISBN13: 9783319809618
• Release Date: May 2018
• Publisher: Springer
• Length: 273 Pages
• Weight: 0.90 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"