Brownian motion, martingales, and stochastic calculus. (2016)

• Record Type: Book
• Further Information: Note: Jean-François Le Gall.
• Authors: Le Gall, J. F (Jean-François)
• Contents: Gaussian variables and Gaussian processes -- Brownian motion -- Filtrations and martingales -- Continuous semimartingales -- Stochastic integration -- General theory of Markov processes -- Brownian motion and partial differential equations -- Stochastic differential equations -- Local times -- The monotone class lemma -- Discrete martingales -- References.
• Publisher Details: Switzerland : Springer
• Publication Date: 2016
• Extent: 1 online resource (xi, 273 pages), illustrations (some color)
• Subjects: 519.2/33; Mathematics; Brownian motion processes; Martingales (Mathematics); Brownian motion processes; Martingales (Mathematics); Mathematics -- Applied; Mathematics -- Mathematical Analysis; Science -- System Theory; Finance & accounting; Integral calculus & equations; Mathematical modelling; Cybernetics & systems theory; Distribution (Probability theory); Finance; Systems theory; Mathematics -- Probability & Statistics -- General; Probability & statistics; Electronic books
• Languages: English
• ISBNs: 9783319310893; 3319310895; 3319310887; 9783319310886
• Related ISBNs: 9783319310886
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed May 4, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.