Brownian Motion, Martingales, and Stochast...

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Beschreibung

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Über den Autor

Jean-François ¿Le Gall is Professor of Mathematics at the University of Paris-Saclay in France. As one of the leading experts in probability theory, he has done extensive research on stochastic processes, including Brownian motion, random trees, random planar maps, and other related objects. His research accomplishments have been recognized with various awards, most recently the Wolf prize. He is the author of two successful textbooks on Brownian Motion, Martingales, and Stochastic Calculus (2016) in the Graduate Texts in Mathematics series and Spatial Branching Processes, Random Snakes and Partial Differential Equations (1999) in the Lectures in Mathematics, ETH Zürich series.

Zusammenfassung

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Inhaltsverzeichnis

Gaussian variables and Gaussian processes.- Brownian motion.- Filtrations and martingales.- Continuous semimartingales.- Stochastic integration.- General theory of Markov processes.- Brownian motion and partial differential equations.- Stochastic differential equations.- Local times.- The monotone class lemma.- Discrete martingales.- References.

Details

Erscheinungsjahr:	2016
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Reihe:	Graduate Texts in Mathematics
Inhalt:	xiii 273 S. 4 s/w Illustr. 1 farbige Illustr. 273 p. 5 illus. 1 illus. in color.
ISBN-13:	9783319310886
ISBN-10:	3319310887
Sprache:	Englisch
Einband:	Gebunden
Autor:	Le Gall, Jean-François
Auflage:	1st edition 2016
Hersteller:	Springer Springer International Publishing Springer International Publishing AG Graduate Texts in Mathematics
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 22 mm
Von/Mit:	Jean-François Le Gall
Erscheinungsdatum:	09.05.2016
Gewicht:	0,6 kg