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Brownian Motion, Martingales, and Stochastic Calculus

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Brownian Motion, Martingales, and Stochastic Calculus - Le Gall, Jean-François
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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

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Brownian Motion, Martingales, and Stochastic Calculus 2018, Springer, Cham

ISBN-13: 9783319809618

Trade paperback

Brownian Motion, Martingales, and Stochastic Calculus 2016, Springer, Cham

ISBN-13: 9783319310886

2016 edition

Hardcover