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Targeted at university seniors and graduate students in probability theory or mathematical finance, this book begins with a review of foundational probability concepts. It progresses through discrete-time martingales and continuous martingales, covering stochastic integrations and differential equations influenced by Brownian motion. The final chapter applies these theories to mathematical finance. Readers should have a background in linear algebra and measure theory, as the text includes rigorous proofs for all key results.
Buchkauf
Stochastic Analysis, Shigeo Kusuoka
- Sprache
- Erscheinungsdatum
- 2020
- Einband
- (Hardcover)
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- Titel
- Stochastic Analysis
- Sprache
- Englisch
- Autor*innen
- Shigeo Kusuoka
- Erscheinungsdatum
- 2020
- Einband
- Hardcover
- Seitenzahl
- 232
- ISBN13
- 9789811588631
- Reihe
- Schlagwörter
- Sachbücher, Wissenschaft & Mathematik, Mathematik
- Beschreibung
- Targeted at university seniors and graduate students in probability theory or mathematical finance, this book begins with a review of foundational probability concepts. It progresses through discrete-time martingales and continuous martingales, covering stochastic integrations and differential equations influenced by Brownian motion. The final chapter applies these theories to mathematical finance. Readers should have a background in linear algebra and measure theory, as the text includes rigorous proofs for all key results.