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Brownian Motion, Martingales, and Stochastic Calculus
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Brownian Motion, Martingales, and Stochastic Calculus

4.33  ·  Rating details ·  3 ratings  ·  1 review
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 Ito s formula, the optional stopping theorem and Girsanov s theorem, are treated in detail alongside many illustrative examples. The book also contains an i ...more
Hardcover, 273 pages
Published May 9th 2016 by Springer
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Andrew
If you haven't seen it before, the connection between Brownian motion and the Laplace operator is unexpectedly beautiful, in that something completely random and non-smooth should provide a method of finding smooth solutions to e.g. heat flow.
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