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Focused on advanced concepts in probability theory and mathematical finance, this book reviews essential results before delving into discrete and continuous martingales, stochastic integrations, and differential equations influenced by Brownian motion. It culminates in practical applications within mathematical finance, catering to university seniors and graduate students. The text emphasizes rigorous proofs for theorems and propositions, requiring readers to have a foundational understanding of linear algebra and measure theory.
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Stochastic Analysis, Shigeo Kusuoka
- Langue
- Année de publication
- 2021
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- (souple)
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- Titre
- Stochastic Analysis
- Langue
- Anglais
- Auteurs
- Shigeo Kusuoka
- Éditeur
- Springer Nature Singapore
- Publié
- 2021
- Format
- souple
- Pages
- 232
- ISBN13
- 9789811588662
- Séries
- Mots clés
- Nonfiction, Science et Mathématiques, Mathématiques
- Description
- Focused on advanced concepts in probability theory and mathematical finance, this book reviews essential results before delving into discrete and continuous martingales, stochastic integrations, and differential equations influenced by Brownian motion. It culminates in practical applications within mathematical finance, catering to university seniors and graduate students. The text emphasizes rigorous proofs for theorems and propositions, requiring readers to have a foundational understanding of linear algebra and measure theory.