Edición de la obra Brownian motion and stochastic calculus
| Autor | Ioannis Karatzas |
|---|---|
| Editorial | Springer-Verlag |
| Fecha de publicación | 1991 |
| Lugar | New York |
| Idioma | inglés |
| Páginas | 470 |
| ISBN-10 | 0387976558, 3540976558 |
| OCLC | 35122007, 24011122 |
| LCCN | 91022775, 96167783 |
| Serie | Graduate texts in mathematics ; · 113 |
| Número de Cutter | K18b |
This book is designed for a graduate course in stochastic processes. It is written for the reader who is familiar with measure-theoretic probability and the theory of discrete-time processes who is now ready to explore continuous-time stochastic processes. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a Markov process and a martingale in continuous time. The authors show how, by means of stochastic integration and random time change, all continuous martingales and many continuous Markov processes can be represented in terms of Brownian motion. The text is complemented by a large number of exercises.