Title
Mouvement brownien, martingales et calcul stochastique (Mathmatiques et Applications, 71) (French Edition),Used
Delivery time: 8-12 business days (International)
Cet ouvrage propose une approche concise mais complte de la thorie de l'intgrale stochastique dans le cadre gnral des semimartingales continues. Aprs une introduction au mouvement brownien et ses principales proprits, les martingales et les semimartingales continues sont prsentes en dtail avant la construction de l'intgrale stochastique. Les outils du calcul stochastique, incluant la formule d'It, le thorme d'arrt et de nombreuses applications, sont traits de manire rigoureuse. Le livre contient aussi un chapitre sur les processus de Markov et un autre sur les quations diffrentielles stochastiques, avec une preuve dtaille des proprits markoviennes des solutions. De nombreux exercices permettent au lecteur de se familiariser avec les techniques du calcul stochastique.This book offers a rigorous and selfcontained approach to the theory of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including It's formula, the optional stopping theorem and the Girsanov theorem are treated in detail including many important applications. Two chapters are devoted to general Markov processes and to stochastic differential equations, with a complete derivation of Markovian properties of solutions in the Lipschitz case. Numerous exercises help the reader to get acquainted with the techniques of stochastic calculus.
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This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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