Brownian Motion, Martingales, and Stochastic Calculus (3, 2016) | Jean-Francois Le Gall,Jean-François Le Gall

Springer International Publishing AG

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Beskrivelse

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…