Brownian Motion and Stochastic Calculus by Ioannis Karatzas

Brownian Motion and Stochastic Calculus by Ioannis Karatzas

This book is designed as a text for graduate courses in stochastic processes. This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time.

Second Edition

IKaratzas and S.E. Shreve

Brownian Motion and Stochastic Calculus

"A valuable book for every graduate student studying stochastic process, and for those who are interested in pure and applied probability. The authors have done a good job."—MATHEMATICAL REVIEWS

Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education.

SKU	Unavailable
ISBN 13	9780387976556
ISBN 10	0387976558
Title	Brownian Motion and Stochastic Calculus
Author	Ioannis Karatzas
Series	Graduate Texts In Mathematics
Condition	Unavailable
Binding Type	Paperback
Publisher	Springer-Verlag New York Inc.
Year published	1991-08-16
Number of pages	470
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.