Brownian Motion, Martingales, and Stochast...

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Sprache: Englisch

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Beschreibung

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales

Presents major applications of stochastic calculus to Brownian motion and related stochastic processes

Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Über den Autor

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.

Zusammenfassung

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales
Presents major applications of stochastic calculus to Brownian motion and related stochastic processes
Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

Inhaltsverzeichnis

Gaussian variables and Gaussian processes.- Brownian motion.- Filtrations and martingales.- Continuous semimartingales.- Stochastic integration.- General theory of Markov processes.- Brownian motion and partial differential equations.- Stochastic differential equations.- Local times.- The monotone class lemma.- Discrete martingales.- References.

Details

Erscheinungsjahr:	2018
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Reihe:	Graduate Texts in Mathematics
Inhalt:	xiii 273 S. 4 s/w Illustr. 1 farbige Illustr. 273 p. 5 illus. 1 illus. in color.
ISBN-13:	9783319809618
ISBN-10:	331980961X
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Le Gall, Jean-François
Auflage:	Softcover reprint of the original 1st edition 2016
Hersteller:	Springer Palgrave Macmillan Springer International Publishing AG Graduate Texts in Mathematics
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 16 mm
Von/Mit:	Jean-François Le Gall
Erscheinungsdatum:	27.05.2018
Gewicht:	0,441 kg