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Brownian Motion and Stochastic Calculus
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Brownian Motion and Stochastic Calculus Paperback - 1991

by Ioannis Karatzas; Steven Shreve


From the publisher

This book is designed as a text for graduate courses in stochastic processes. It contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

First line

1.1 Definition. Y is a modification of X if, for every t 0, we have P[Xt = Yt] = 1.

Details

  • Title Brownian Motion and Stochastic Calculus
  • Author Ioannis Karatzas; Steven Shreve
  • Binding Paperback
  • Edition 2nd
  • Pages 470
  • Volumes 1
  • Language ENG
  • Publisher Springer, New York
  • Date 1991-08-16
  • ISBN 9780387976556 / 0387976558
  • Weight 1.55 lbs (0.70 kg)
  • Dimensions 9.1 x 6.1 x 1.1 in (23.11 x 15.49 x 2.79 cm)
  • Library of Congress subjects Stochastic analysis, Brownian motion processes
  • Library of Congress Catalog Number 91022775
  • Dewey Decimal Code 519.233
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Brownian Motion and Stochastic Calculus
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Brownian Motion and Stochastic Calculus

by Karatzas, Ioannis & Steven Shreve

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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)

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Brownian Motion and Stochastic Calculus

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Brownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus

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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)

by Karatzas, Ioannis; Shreve, Steven

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