Probability Theory II Stochastic Calculus /
This book offers a modern approach to the theory of continuous-time stochastic processes and stochastic calculus. The content is treated rigorously, comprehensively, and independently. In the first part, the theory of Markov processes and martingales is introduced, with a focus on Brownian motion an...
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| Format: | Elektronski eKnjiga |
| Jezik: | angleščina |
| Izdano: |
Cham :
Springer Nature Switzerland : Imprint: Springer,
2024.
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| Izdaja: | 1st ed. 2024. |
| Serija: | La Matematica per il 3+2,
166 |
| Teme: | |
| Online dostop: | https://doi.org/10.1007/978-3-031-63193-1 |
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Kazalo:
- 1 Stochastic processes
- 2 Markov processes
- 3 Continuous processes
- 4 Brownian motion
- 5 Poisson process
- 6 Stopping times
- 7 Strong Markov property
- 8 Continuous martingales
- 9 Theory of variation
- 10 Stochastic integral
- 11 Itô's formula
- 12 Multidimensional stochastic calculus
- 13 Change of measure and martingale representation
- 14 Stochastic differential equations
- 15 Feynman-Kac formulas
- 16 Linear stochastic equations
- 17 Strong solutions
- 18 Weak solutions
- 19 Complements.-20 A primer on parabolic PDEs.