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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.
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Stochastic Analysis, Shigeo Kusuoka
- Idioma
- Publicado en
- 2020
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- Título
- Stochastic Analysis
- Idioma
- Inglés
- Autores
- Shigeo Kusuoka
- Editorial
- Springer Nature Singapore
- Publicado en
- 2020
- Formato
- Tapa dura
- Páginas
- 232
- ISBN13
- 9789811588631
- Serie
- Etiquetas
- No ficción, Ciencia y Matemáticas, Matemáticas
- Descripción
- 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.