Stochastic Analysis /
This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (part...
Main Author: | |
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Corporate Author: | |
Format: | Book |
Language: | English |
Published: |
Singapore :
Springer Singapore : Imprint: Springer,
2020
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Edition: | First edition 2020 |
Series: | Mathematics and Statistics (SpringerNature-11649)
Monographs in mathematical economics 3 |
Subjects: |
Table of Contents:
- Chapter 1. Preparations from probability theory
- Chapter 2. Martingale with discrete parameter
- Chapter 3. Martingale with continuous parameter
- Chapter 4. Stochastic integral
- Chapter 5. Applications of stochastic integral
- Chapter 6. Stochastic differential equation
- Chapter 7. Application to finance
- Chapter 8. Appendices
- References