Brownian motion and stochastic calculus.

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Author : KARATZAS Ioannis ; SHREVE Steven E.

Publisher : SPRINGER VERLAG

Publication date : 2000

Pages : 470

ISBN : 0-387-976558

Call number : 212.81-KARAT

Keywords : STOCHASTIC PROCESS ; FINANCIAL MATHEMATICS ; PROBABILITIES ; INVESTMENT

Number of copies : 2

No.	Call n°	Bar code	Commentary
1			[not for loan]
2			[available]

Comment :

ISBN 13 : 978-0387976556

Contents : Contents

1. Martingales, Stopping Times, and Filtrations.
2. Brownian Motion.
3. Stochastic Integration.
4. Brownian Motion and Partial Differential Equations.
5. Stochastic Differential Equations.
6. Lévy's Theory of Brownian Local Time.

Language : English

Series : GRADUATE TEXTS IN MATHEMATICS

Collection N° : 113

Print : 2ème

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque