Graduate Texts in Mathematics

Brownian Motion and Stochastic Calculus

Authors: Karatzas, Ioannis, Shreve, Steven

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About this Textbook

Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of these ideas in the discrete-time setting, and who now wish to explore stochastic processes in their continuous­ time context. It has been our goal to write a systematic and thorough exposi­ tion of this subject, leading in many instances to the frontiers of knowledge. At the same time, we have endeavored to keep the mathematical prerequisites as low as possible, namely, knowledge of measure-theoretic probability and some familiarity with discrete-time processes. The vehicle we have chosen for this task is Brownian motion, which we present as the canonical example of both a Markov process and a martingale. We support this point of view by showing how, by means of stochastic integration and random time change, all continuous-path martingales and a multitude of continuous-path Markov processes can be represented in terms of Brownian motion. This approach forces us to leave aside those processes which do not have continuous paths. Thus, the Poisson process is not a primary object of study, although it is developed in Chapter 1 to be used as a tool when we later study passage times and local time of Brownian motion.

Table of contents (6 chapters)

  • Martingales, Stopping Times, and Filtrations

    Karatzas, Ioannis (et al.)

    Pages 1-46

  • Brownian Motion

    Karatzas, Ioannis (et al.)

    Pages 47-127

  • Stochastic Integration

    Karatzas, Ioannis (et al.)

    Pages 128-238

  • Brownian Motion and Partial Differential Equations

    Karatzas, Ioannis (et al.)

    Pages 239-280

  • Stochastic Differential Equations

    Karatzas, Ioannis (et al.)

    Pages 281-398

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-1-4684-0302-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Brownian Motion and Stochastic Calculus
Authors
Series Title
Graduate Texts in Mathematics
Series Volume
113
Copyright
1988
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York Inc.
eBook ISBN
978-1-4684-0302-2
DOI
10.1007/978-1-4684-0302-2
Series ISSN
0072-5285
Edition Number
1
Number of Pages
XXIII, 470
Topics