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Brownian motion, martingales, and stochastic calculus
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated...
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| Lenguaje: | eng |
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Springer
2016
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-31089-3 http://cds.cern.ch/record/2151768 |