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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
- Langue
- Année de publication
- 2020
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- Titre
- Stochastic Analysis
- Langue
- Anglais
- Auteurs
- Shigeo Kusuoka
- Éditeur
- Springer Nature Singapore
- Publié
- 2020
- Format
- rigide
- Pages
- 232
- ISBN13
- 9789811588631
- Séries
- Mots clés
- Nonfiction, Science et Mathématiques, Mathématiques
- Description
- 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.