Continuous Martingales and Brownian Motion
Series: Grundlehren der mathematischen Wissenschaften
Publisher: Springer Berlin Heidelberg
Published: 1991
Place of publication: Berlin, Heidelberg
Language: ger
Format: Elektronische Ressource
Number of pages: 536
ISBN-13: 9783662217269
Subjects: Brownsche Bewegung; Martingal; Stochastische Analysis
Description: This work provides a detailed study of Brownian Motion, via the Itô stochastic calculus of continuous processes, e.g. diffusions, continuous semi-martingales: it should facilitate the reading and understanding of research papers in this area, and be of interest both to graduate students and to more advanced readers, either working primarily with stochastic processes, or doing research in an area involving stochastic processes, e.g. mathematical physics, economics. The emphasis is on methods, rather than generality. After a first introductory chapter, each of the subsequent ones introduces a new method or idea, e.g. stochastic integration, local times, excursions, weak convergence, and describes its appications to Brownian motion; some of these appear for the first time in book form. One of the important features of the book is the large number of exercises which, at the same time, give additional results and will help the reader master the subject more easily.
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