Brownian Motion and Stochastic Calculus
Ioannis Karatzas, Steven Shreve
Springer-Verlag New York Inc., 1991
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This book is designed as a text for graduate courses in stochastic processes. This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time.
- ISBN-13
- 9780387976556
- ISBN-10
- 0387976558
- Publisher
- Springer-Verlag New York Inc.
- Year
- 1991
- Publication date
- 1991-08-16
- Pages
- 470
- Dimensions
- 234x157x26
- Weight
- 748