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Paramètres
- 470pages
- 17 heures de lecture
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This book serves as a graduate-level text on stochastic processes, focusing on continuous-time processes through Brownian motion. It covers stochastic integration, calculus, and applications in financial economics, including option pricing. The text includes discussions on stochastic differential equations and local time, along with numerous exercises.
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Brownian Motion and Stochastic Calculus, Ioannis Karatzas, Steven Shreve
- Langue
- Année de publication
- 1991
- product-detail.submit-box.info.binding
- (souple)
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