Karatzas, Ioannis
Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
- ISBN 13:
- 9780387976556
- author:
- Karatzas, Ioannis
- format:
- Paperback
- publisher:
- Springer
- language:
- English
- Publication Year:
- 1991
- Pages:
- 470
- Genre:
- Probability & statistics
- Condition:
- New
- Availability:
- Item usually sent within 5 working days
Description
Brownian Motion and Stochastic Calculus by Ioannis Karatzas and Steven Shreve is a graduate-level textbook that explores stochastic processes in continuous time. It uses Brownian motion as the canonical example to develop the theory of stochastic integration and stochastic calculus.
The book delves into the power of this calculus, illustrating its applications in financial economics, including option pricing and consumption/investment optimization. It also covers topics such as weak and strong solutions of stochastic differential equations and local time for semimartingales, with a focus on Brownian local time.
Complementing its theoretical content, the book includes a large number of problems and exercises to help readers practice and deepen their understanding of these complex concepts.
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