Brownian motion, martingales, and stochastic calculus (Record no. 60628)

000 -LEADER
fixed length control field 02685nam a22002535i 4500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 160414s2016 nyu 000 0 eng
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9783319310886 (HB)
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title eng
080 ## - UNIVERSAL DECIMAL CLASSIFICATION NUMBER
Universal Decimal Classification number 519.216
Item number LE
100 ## - MAIN ENTRY--AUTHOR NAME
Personal name Le Gall, Jean-Francois
245 00 - TITLE STATEMENT
Title Brownian motion, martingales, and stochastic calculus
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication Switzerland
Name of publisher Springer
Year of publication 2016
300 ## - PHYSICAL DESCRIPTION
Number of Pages xiii, 273p.
490 ## - SERIES STATEMENT
Series statement Graduate Texts in Mathematics
Volume number/sequential designation 274
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes References
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note Gaussian variables and Gaussian processes<br/>Brownian motion<br/>Filtrations and martingales<br/>Continuous semimartingales<br/>Stochastic integration<br/>General theory of Markov processes<br/>Brownian motion and partial differential equations<br/>Stochastic differential equations<br/>Local times<br/>The monotone class lemma<br/>Discrete martingales<br/>References<br/>
520 ## - SUMMARY, ETC.
Summary, etc 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 in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus<br/>
546 ## - LANGUAGE NOTE
Language note <br/>Translated from the French edition published: Berlin: Springer, 2013
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Stochastic analysis
Form subdivision calculus
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Brownian motion
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Martingales
690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN)
Topical term or geographic name as entry element Mathematics
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type BOOKS
Holdings
Withdrawn status Lost status Damaged status Not for loan Current library Shelving location Full call number Accession Number Koha item type
        IMSc Library First Floor, Rack No: 35, Shelf No: 37 519.216 LE 78278 BOOKS
The Institute of Mathematical Sciences, Chennai, India

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