Brownian Motion, Martingales, and Stochastic Calculus

Editora:

Springer Nature B.V.

Código:

491_9783319310886

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Sinopse
Características

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.

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