图书标签: 数学 金融 金融数学 金融工程 Mathematics 统计学 quant Probability
发表于2024-07-06
Brownian Motion and Stochastic Calculus pdf epub mobi txt 电子书 下载 2024
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.
这不是金融书!这是数学书!
评分Shreve读数学前是德语系学生!
评分讲道理Karatzas这本写的太烂了,还是Protter写的容易入门,关于BM的第二类构造方法还是有点东西的。
评分结课了就假装我已经看了这本书
评分基本的金融数学(随机微积分)参考书
这本书的特点是非常全面,一切关于布朗运动的知识、连续半鞅随机积分ITO公式的各种变形,都可以从该书找到,不是正文就是习题。写得也极具启发性,比如和一个stopping time相联系的sigma代数filtration,一般的书都是直接给出个定义,只有这本书解释了为什么会有这样的定...
Brownian Motion and Stochastic Calculus pdf epub mobi txt 电子书 下载 2024