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Targeted at university seniors and graduate students in probability theory or mathematical finance, this book begins with a review of foundational probability concepts. It progresses through discrete-time martingales and continuous martingales, covering stochastic integrations and differential equations influenced by Brownian motion. The final chapter applies these theories to mathematical finance. Readers should have a background in linear algebra and measure theory, as the text includes rigorous proofs for all key results.
Zakup książki
Stochastic Analysis, Shigeo Kusuoka
- Język
- Rok wydania
- 2020
- Oprawa
- (twarda)
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- Tytuł
- Stochastic Analysis
- Język
- angielski
- Autorzy
- Shigeo Kusuoka
- Wydawca
- Springer Nature Singapore
- Rok wydania
- 2020
- Oprawa
- twarda
- Liczba stron
- 232
- ISBN13
- 9789811588631
- Seria
- Tagi
- Opis
- Targeted at university seniors and graduate students in probability theory or mathematical finance, this book begins with a review of foundational probability concepts. It progresses through discrete-time martingales and continuous martingales, covering stochastic integrations and differential equations influenced by Brownian motion. The final chapter applies these theories to mathematical finance. Readers should have a background in linear algebra and measure theory, as the text includes rigorous proofs for all key results.