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Focusing on continuous-time stochastic processes, the book rigorously explores Markov processes, martingales, Brownian motion, and the Poisson process. It delves into stochastic integration for continuous semimartingales and discusses stochastic differential equations, emphasizing solvability and uniqueness. With practical examples throughout, it serves as a comprehensive resource for students in mathematics, finance, and related fields, and is designed for courses spanning two semesters. This text builds on foundational concepts introduced in the previous volume on probability theory.
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Probability Theory II, Andrea Pascucci
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- 2024
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