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Targeted at university seniors and graduate students in probability theory or mathematical finance, this book begins with a review of foundational probability concepts. It progresses through discrete-time martingales and continuous martingales, covering stochastic integrations and differential equations influenced by Brownian motion. The final chapter applies these theories to mathematical finance. Readers should have a background in linear algebra and measure theory, as the text includes rigorous proofs for all key results.
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Stochastic Analysis, Shigeo Kusuoka
- Language
- Released
- 2020
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- (Hardcover)
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- Title
- Stochastic Analysis
- Language
- English
- Authors
- Shigeo Kusuoka
- Publisher
- Springer Nature Singapore
- Released
- 2020
- Format
- Hardcover
- Pages
- 232
- ISBN13
- 9789811588631
- Series
- Description
- Targeted at university seniors and graduate students in probability theory or mathematical finance, this book begins with a review of foundational probability concepts. It progresses through discrete-time martingales and continuous martingales, covering stochastic integrations and differential equations influenced by Brownian motion. The final chapter applies these theories to mathematical finance. Readers should have a background in linear algebra and measure theory, as the text includes rigorous proofs for all key results.