Stochastic Analysis: 3 (Monographs in Mathematical Economics, 3) - Image 1

£58.02

Springer Stochastic Analysis: 3 (Monographs in Mathematical Economics, 3)

Name: 0471155977
Brand: Springer
Price: 58.02 GBP
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Applied Mathematics

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Description

This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas. In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts ofthe square integrable functions are used in the proof. In stochastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 981158866X
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 21 October 2021
Listed Since: 23 September 2021

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Springer Stochastic Analysis: 3 (Monographs in Mathematical Economics, 3)

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