Brownian Motion, Martingales, and Stochastic Calculus

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...

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Main Author: Le Gall, Jean-François.
Corporate Author: SpringerLink (Online service)
Format: Electronic
Language: English
Published: Cham : Springer International Publishing : 2016.
Series: Graduate Texts in Mathematics, 274
Subjects:
Online Access: http://dx.doi.org/10.1007/978-3-319-31089-3
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