Brownian Motion and Stochastic Calculus

Author: Ioannis Karatzas
Publisher: Springer
ISBN: 1461209498
Format: PDF, ePub
Download Now
A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book 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 whole is backed by a large number of problems and exercises.

Brownian Motion and Stochastic Calculus

Author: Ioannis Karatzas
Publisher: Springer Science & Business Media
ISBN: 1468403028
Format: PDF
Download Now
Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of these ideas in the discrete-time setting, and who now wish to explore stochastic processes in their continuous time context. It has been our goal to write a systematic and thorough exposi tion of this subject, leading in many instances to the frontiers of knowledge. At the same time, we have endeavored to keep the mathematical prerequisites as low as possible, namely, knowledge of measure-theoretic probability and some familiarity with discrete-time processes. The vehicle we have chosen for this task is Brownian motion, which we present as the canonical example of both a Markov process and a martingale. We support this point of view by showing how, by means of stochastic integration and random time change, all continuous-path martingales and a multitude of continuous-path Markov processes can be represented in terms of Brownian motion. This approach forces us to leave aside those processes which do not have continuous paths. Thus, the Poisson process is not a primary object of study, although it is developed in Chapter 1 to be used as a tool when we later study passage times and local time of Brownian motion.

Brownian Motion and Stochastic Calculus

Author: Ioannis Karatzas
Publisher: Springer Science & Business Media
ISBN: 9780387976556
Format: PDF
Download Now
This book 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. Include a large number of problems and exercises.From the reviews: "A valuable book for every graduate student studying stochastic process, and for those who are interested in pure and applied probability. The authors have done a good job." --MATHEMATICAL REVIEWS

Brownian Motion Martingales and Stochastic Calculus

Author: Jean-François Le Gall
Publisher: Springer
ISBN: 3319310895
Format: PDF, Kindle
Download Now
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.

Stochastic Calculus for Fractional Brownian Motion and Applications

Author: Francesca Biagini
Publisher: Springer Science & Business Media
ISBN: 1846287979
Format: PDF, ePub, Docs
Download Now
The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the resulting theory. Particular emphasis is placed on studying the relations between the different approaches. Readers are assumed to be familiar with probability theory and stochastic analysis, although the mathematical techniques used in the book are thoroughly exposed and some of the necessary prerequisites, such as classical white noise theory and fractional calculus, are recalled in the appendices. This book will be a valuable reference for graduate students and researchers in mathematics, biology, meteorology, physics, engineering and finance.

Stochastic Calculus for Fractional Brownian Motion and Related Processes

Author: Yuliya Mishura
Publisher: Springer Science & Business Media
ISBN: 3540758720
Format: PDF, ePub, Mobi
Download Now
This volume grew out of a series of preprints which were written and circulated - tween 1993 and 1994. Around the same time, related work was done independently by Harder 40] and Laumon 62]. In writing this text based on a revised version of these preprints that were widely distributed in summer 1995, I ?nally did not p- sue the original plan to completely reorganize the original preprints. After the long delay, one of the reasons was that an overview of the results is now available in 115]. Instead I tried to improve the presentation modestly, in particular by adding cross-references wherever I felt this was necessary. In addition, Chaps. 11 and 12 and Sects. 5. 1, 5. 4, and 5. 5 were added; these were written in 1998. I willgivea moredetailedoverviewofthecontentofthedifferentchaptersbelow. Before that I should mention that the two main results are the proof of Ramanujan's conjecture for Siegel modular forms of genus 2 for forms which are not cuspidal representations associated with parabolic subgroups(CAP representations), and the study of the endoscopic lift for the group GSp(4). Both topics are formulated and proved in the ?rst ?ve chapters assuming the stabilization of the trace formula. All the remaining technical results, which are necessary to obtain the stabilized trace formula, are presented in the remaining chapters. Chapter 1 gathers results on the cohomology of Siegel modular threefolds that are used in later chapters, notably in Chap. 3. At the beginning of Chap.

Brownian Motion Calculus

Author: Ubbo F. Wiersema
Publisher: John Wiley & Sons
ISBN: 0470021713
Format: PDF, Docs
Download Now
Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website.

Stochastic Calculus

Author: Richard Durrett
Publisher: CRC Press
ISBN: 1351413740
Format: PDF
Download Now
This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial differential equations. It solves stochastic differential equations by a variety of methods and studies in detail the one-dimensional case. The book concludes with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. The presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physics, finance, or the many other areas to which the subject applies, you'll find that this text brings together the material you need to effectively and efficiently impart the practical background they need.

Brownian Motion

Author: René L. Schilling
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110307308
Format: PDF, ePub, Mobi
Download Now
Stochastic processes occur everywhere in sciences and engineering, and need to be understood by applied mathematicians, engineers and scientists alike. This is a first course introducing the reader gently to the subject. Brownian motions are a stochastic process, central to many applications and easy to treat.

Continuous Martingales and Brownian Motion

Author: Daniel Revuz
Publisher: Springer Science & Business Media
ISBN: 3662064006
Format: PDF
Download Now
"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.