The Resource Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall
Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall
Resource Information
The item Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
- Summary
- This book offers a rigorous and self-contained presentation 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 Girsanov's theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus
- Language
-
- eng
- fre
- eng
- Extent
- xiii, 273 pages
- Note
- Translated from the French edition published: Berlin: Springer, 2013
- Contents
-
- 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
- Isbn
- 9783319310886
- Label
- Brownian motion, martingales, and stochastic calculus
- Title
- Brownian motion, martingales, and stochastic calculus
- Statement of responsibility
- Jean-François Le Gall
- Language
-
- eng
- fre
- eng
- Summary
- This book offers a rigorous and self-contained presentation 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 Girsanov's theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus
- Cataloging source
- INT
- http://library.link/vocab/creatorName
- Le Gall, J. F.
- Dewey number
- 519.236
- Illustrations
- illustrations
- Index
- index present
- LC call number
- QA274.75
- LC item number
- .L4413 2016
- Literary form
- non fiction
- Nature of contents
- bibliography
- Series statement
- Graduate texts in mathematics,
- Series volume
- 274
- http://library.link/vocab/subjectName
-
- Brownian motion processes
- Martingales (Mathematics)
- Stochastic analysis
- Calculus
- Brownian motion processes
- Calculus
- Martingales (Mathematics)
- Stochastic analysis
- Label
- Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall
- Note
- Translated from the French edition published: Berlin: Springer, 2013
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- 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
- Control code
- 950732866
- Dimensions
- 24 cm.
- Extent
- xiii, 273 pages
- Isbn
- 9783319310886
- Lccn
- 2016938909
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- Other physical details
- illustrations
- System control number
- (OCoLC)950732866
- Label
- Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall
- Note
- Translated from the French edition published: Berlin: Springer, 2013
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- 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
- Control code
- 950732866
- Dimensions
- 24 cm.
- Extent
- xiii, 273 pages
- Isbn
- 9783319310886
- Lccn
- 2016938909
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- Other physical details
- illustrations
- System control number
- (OCoLC)950732866
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Brownian-motion-martingales-and-stochastic/z7mjR8h4jVM/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Brownian-motion-martingales-and-stochastic/z7mjR8h4jVM/">Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
