Brownian Motion, Martingales, and Stochastic Calculus
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Brownian Motion, Martingales, and Stochastic Calculus by Jeanfranois Le Gall
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales.
“‘The aim of this book is to provide a rigorous introduction to the theory of stochastic calculus for continuous semi-martingales putting a special emphasis on Brownian motion’ … If the reader has the background and needs a rigorous treatment of the subject this book would be a good choice. Le Gall writes clearly and gets to the point quickly … .” (Richard Durrett, MAA Reviews, March, 2017)
“The purpose of this book is to provide concise but rigorous introduction to the theory of stochastic calculus for continuous semimartingales, putting a special emphasis on Brownian motion. … The book is written very clearly, it is interesting both for its construction and maintenance, mostly it is self-contained. It can be recommended to everybody who wants to study stochastic calculus, including those who is interested to its applications in other fields.” (Yuliya S. Mishura, zbMATH, 2017)
Jean-François Le Gall is a well-known specialist of probability theory and stochastic processes. His main research achievements are concerned with Brownian motion, superprocesses and their connections with partial differential equations, and more recently random trees and random graphs. He has been awarded several international prizes in mathematics, including the Loeve Prize and the Fermat Prize, and gave a plenary lecture at the 2014 International Congress of Mathematicians. He is currently a professor of mathematics at Université Paris-Sud and a member of the French Academy of Sciences.
| SKU | Unavailable |
| ISBN 13 | 9783319310886 |
| ISBN 10 | 3319310887 |
| Title | Brownian Motion, Martingales, and Stochastic Calculus |
| Author | Jean-François Le Gall |
| Series | Graduate Texts In Mathematics |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Springer International Publishing AG |
| Year published | 2016-05-09 |
| Number of pages | 273 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |