Brownian Motion, Martingales, and Stochastic Calculus /

Brownian Motion, Martingales, and Stochastic Calculus /

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This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô's formula, the optional stopping theorem and Girsanov's theorem, a...

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Bibliographic Details
Main Author: Le Gall, J. F (Jean-François) (Author, http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Format: Book
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2016
Edition:First edition 2016
Series:Graduate texts in mathematics 274
Subjects:
Economics, Mathematical
Mathematical models
Measure theory
Probabilities
System theory
Probability Theory and Stochastic Processes
Mathematical Modeling and Industrial Mathematics
Measure and Integration
Quantitative Finance
Systems Theory, Control

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