Stochastic Analysis /

Stochastic Analysis /

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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...

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Bibliographic Details
Main Author: Kusuoka, S (Shigeo), 1954- (Author, http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Format: Book
Language:English
Published: Singapore : Springer Singapore : Imprint: Springer, 2020
Edition:First edition 2020
Series:Mathematics and Statistics (SpringerNature-11649)
Monographs in mathematical economics 3
Subjects:
Applied mathematics
Engineering mathematics
Functional analysis
Measure theory
Probabilities
Probability Theory and Stochastic Processes
Applications of Mathematics
Functional Analysis
Measure and Integration
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

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