The Resource Brownian motion, martingales, and stochastic calculus, JeanFrançois Le Gall
Brownian motion, martingales, and stochastic calculus, JeanFrançois Le Gall
Resource Information
The item Brownian motion, martingales, and stochastic calculus, JeanFrançois 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, JeanFrançois 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 selfcontained 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 selfstudy. 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
 JeanFrançois Le Gall
 Language

 eng
 fre
 eng
 Summary
 This book offers a rigorous and selfcontained 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 selfstudy. 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, JeanFrançois 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, JeanFrançois 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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