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Brownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus

Paperback

Series: Graduate Texts in Mathematics, Book 113

Medical ReferenceCalculusProbability & Statistics

ISBN10: 0387976558
ISBN13: 9780387976556
Publisher: Springer
Published: Aug 16 1991
Pages: 470
Weight: 1.55
Height: 1.10 Width: 6.10 Depth: 9.10
Language: English
This book is designed as a text for graduate courses in stochastic processes. It contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

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Calculus