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Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors' aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs.
This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.
Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors' aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs.
This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.
| Fachbereich: | Wahrscheinlichkeitstheorie |
|---|---|
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 408 |
| ISBN-13: | 9783110307290 |
| ISBN-10: | 3110307294 |
| Sprache: | Englisch |
| Autor: |
Schilling, René L.
Partzsch, Lothar |
| Auflage: | 2. Aufl. |
| Hersteller: | De Gruyter |
| Maße: | 20 x 171 x 240 mm |
| Von/Mit: | René L. Schilling (u. a.) |
| Gewicht: | 0,71 kg |
| Fachbereich: | Wahrscheinlichkeitstheorie |
|---|---|
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 408 |
| ISBN-13: | 9783110307290 |
| ISBN-10: | 3110307294 |
| Sprache: | Englisch |
| Autor: |
Schilling, René L.
Partzsch, Lothar |
| Auflage: | 2. Aufl. |
| Hersteller: | De Gruyter |
| Maße: | 20 x 171 x 240 mm |
| Von/Mit: | René L. Schilling (u. a.) |
| Gewicht: | 0,71 kg |
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