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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.
Nákup knihy
Stochastic Analysis, Shigeo Kusuoka
- Jazyk
- Rok vydania
- 2020
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- Titul
- Stochastic Analysis
- Jazyk
- anglicky
- Autori
- Shigeo Kusuoka
- Vydavateľ
- Springer Nature Singapore
- Rok vydania
- 2020
- Väzba
- pevná
- Počet strán
- 232
- ISBN13
- 9789811588631
- Kategórie
- Matematika
- Anotácia
- 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.