£35.95

Springer Brownian Motion, Martingales, and Stochastic Calculus

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£37.90 £34.35 £35.12 £35.90 £36.67 £37.45 £38.22 23 May 2026 14 June 2026 07 July 2026 29 July 2026 21 August 2026

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Description

Master the complexities of stochastic integration with this rigorous text from the Graduate Texts in Mathematics series. This book provides a self-contained presentation of stochastic calculus, specifically designed for advanced mathematical study within the framework of continuous semimartingales. Readers gain a deep understanding of essential tools such as Ito's formula, the optional stopping theorem, and Girsanov's theorem. Each concept is supported by many illustrative examples to aid comprehension. Beyond basic calculus, the text introduces Markov processes and explores their applications in solving stochastic differential equations. It also examines the connection between Brownian motion and partial differential equations, alongside the theory of local times of semimartingales. This Springer publication serves as a comprehensive reference for students and professionals needing a clear, detailed approach to modern stochastic theory.

Key Features

Comprehensive coverage of stochastic integration and calculus using a continuous semimartingales framework.

Detailed treatment of fundamental mathematical tools including Ito's formula and Girsanov's theorem.

Practical learning through many illustrative examples that clarify complex stochastic concepts.

In-depth introduction to Markov processes and their direct applications to stochastic differential equations.

Exploration of the relationship between Brownian motion and partial differential equations.

Specialized instruction on the theory of local times of semimartingales for advanced research.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
28 May 2016
Listed Since
08 February 2016

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No barcode data available

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