Coverart for item
The Resource Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall

Brownian motion, martingales, and stochastic calculus, Jean-François Le Gall

Label
Brownian motion, martingales, and stochastic calculus
Title
Brownian motion, martingales, and stochastic calculus
Statement of responsibility
Jean-François Le Gall
Creator
Author
Subject
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
Member of
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
Instantiates
Publication
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
Publication
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

Library Locations

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      104 Ellis Library, Columbia, MO, 65201, US
      38.944377 -92.326537
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