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Springer Brownian Motion and Stochastic Calculus - GTM 113

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Description

Expand your mathematical expertise with Brownian Motion and Stochastic Calculus, part of the Graduate Texts in Mathematics series (113) by Springer. This graduate-level text is designed for readers who already have a foundation in measure-theoretic probability and discrete-time processes but want to master stochastic processes in continuous time. By using Brownian motion as the primary vehicle, this book provides a clear exposition of its role as a canonical example of a martingale and a Markov process with continuous paths. Readers will develop a deep understanding of stochastic integration and stochastic calculus through practical applications. The text covers essential results concerning martingale representations and change of measure on Wiener space, providing a pathway to explore recent advances in the field. It is an essential resource for advanced students and researchers in applied mathematics.

Key Features

This Springer publication is part of the Graduate Texts in Mathematics series, volume 113.

The text focuses on stochastic processes in continuous time using Brownian motion as the primary example.

Readers learn about martingales and Markov processes with continuous paths through detailed exposition.

The book develops the theory of stochastic integration and stochastic calculus for advanced study.

Content includes results on martingale representations and change of measure on Wiener space.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
16 August 1991
Listed Since
18 December 2006

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