Brownian Motion, Martingales, and Stochastic Calculus

by Jean-François Le Gall

Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales
Presents major applications of stochastic calculus to Brownian motion and related stochastic processes
Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations

• Format: Hardcover
• Language: English
• ISBN: 3319310887
• ISBN13: 9783319310886
• Release Date: May 2016
• Publisher: Springer
• Length: 273 Pages
• Weight: 1.28 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"