EAN: 9783642318979

Bilder-Quelle: discount24.de - Sport-Freizeit

This book offers a rigorous and self-contained approach to the theory of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus including Itô's formula the optional stopping theorem and the Girsanov theorem are treated in detail including many important applications. Two chapters are devoted to general Markov processes and to stochastic differential equations with a complete derivation of Markovian properties of solutions in the Lipschitz case. Numerous exercises help the reader to get acquainted with the techniques of stochastic calculus.

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20.03.2025 um 02:37 Uhr

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