Brownian Motion and Stochastic Calculus

This book is designed as a text for graduate courses in stochastic processes. It contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

Author: Ioannis Karatzas, Steven Shreve
Publisher: Springer
Published: 08/16/1991
Pages: 470
Binding Type: Paperback
Weight: 1.55lbs
Size: 9.10h x 6.10w x 1.10d
ISBN: 9780387976556

This title is not returnable