Stochastic Analysis by Shigeo Kusuoka
Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions.
This book is an introductory course on stochastic analysis for advanced students with previous knowledge in probability theory and measure theoryThe presentation of the theory is detailed and rigorous, both in terms of results and proofs. The book can be an excellent textbook for an introductory course on stochastic analysis, with a strong emphasis on the central notion of martingales. (Josep Vives, Mathematical Reviews, April, 2022)
The author is currently Professor Emeritus at The University of Tokyo and visiting Professor at Meiji University. He previously held positions at The University of Tokyo and Research Institute for Mathematical Sciences, Kyoto University. He was an invited speaker at the ICM 1990.
| SKU | Unavailable |
| ISBN 13 | 9789811588662 |
| ISBN 10 | 981158866X |
| Title | Stochastic Analysis |
| Author | Shigeo Kusuoka |
| Series | Monographs In Mathematical Economics |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Springer Verlag, Singapore |
| Year published | 2021-10-21 |
| Number of pages | 218 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |