Brownian Motion and Stochastic Calculus

Autori

• Ioannis Karatzas
• Steven Shreve

Parametri

• 470 pagine
• 17 ore di lettura

• Economia
• Economia e affari
• Libri di testo
• Manuali e guide
• Matematica

Maggiori informazioni sul libro

This book serves as a graduate-level text on stochastic processes, focusing on continuous-time processes through Brownian motion. It covers stochastic integration, calculus, and applications in financial economics, including option pricing. The text includes discussions on stochastic differential equations and local time, along with numerous exercises.

Lingua: Inglese

Pubblicato: 1991

(In brossura)