Brownian Motion and Stochastic Calculus (repost)
Brownian Motion and Stochastic Calculus
Springer | 1991 | ISBN: 0387976558, 3540976558 | 470 pages | PDF | 1,9 MB
Springer | 1991 | ISBN: 0387976558, 3540976558 | 470 pages | PDF | 1,9 MB
This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths.