Brownian Motion, Martingales, and Stochastic Calculus

Brownian Motion, Martingales, and Stochastic Calculus

Le Gall, Jean-Francois

Springer International Publishing AG

05/2016

273

Dura

Inglês

9783319310886

15 a 20 dias

5561

Descrição não disponível.
Gaussian variables and Gaussian processes.- Brownian motion.- Filtrations and martingales.- Continuous semimartingales.- Stochastic integration.- General theory of Markov processes.- Brownian motion and partial differential equations.- Stochastic differential equations.- Local times.- The monotone class lemma.- Discrete martingales.- References.
Brownian motion;martingale;stochastic integral;stochastic calculus;Ito's formula;martingale representation;Markov process;harmonic function;stochastic differential equation;quantitative finance