This book offers a rigorous and self-contained approach to the theory of shastic integration and shastic calculus within the general framework of continuous semimartingales. The main tools of shastic 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 shastic 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 shastic calculus.
This book offers a rigorous and self-contained approach to the theory of shastic integration and shastic calculus within the general framework of continuous semimartingales. The main tools of shastic 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 shastic 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 shastic calculus.
![Mouvement brownien, martingales et calcul stochastique](http://img.images-bn.com/static/redesign/srcs/images/grey-box.png?v11.10.4)
Mouvement brownien, martingales et calcul stochastique
176![Mouvement brownien, martingales et calcul stochastique](http://img.images-bn.com/static/redesign/srcs/images/grey-box.png?v11.10.4)
Mouvement brownien, martingales et calcul stochastique
176Product Details
ISBN-13: | 9783642318979 |
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Publisher: | Springer Berlin Heidelberg |
Publication date: | 09/18/2012 |
Series: | Math�matiques et Applications , #71 |
Edition description: | 2013 |
Pages: | 176 |
Product dimensions: | 6.10(w) x 9.25(h) x 0.02(d) |
Language: | French |