基本信息·出版社：世界图书出版公司 ·页码：470 页 ·出版日期：2006年05月 ·ISBN：7506272938 ·条形码：9787506272933 ·版本：第2版 ·装帧：平装 ...
| 商家名称 |
信用等级 |
购买信息 |
订购本书 |
|
|
 |
布朗运动和随机计算(第2版) |
 |
|
|
布朗运动和随机计算(第2版) |
|
基本信息·出版社：世界图书出版公司
·页码：470 页
·出版日期：2006年05月
·ISBN：7506272938
·条形码：9787506272933
·版本：第2版
·装帧：平装
·开本：24开
内容简介 《布朗运动和随机计算》(第2版)是Springer《数学研究生丛书》之113卷，是国内外公认的金融数学经典教材，各章有习题详解。
编辑推荐 《布朗运动和随机计算》(第2版)初版于1988年，1991年出第2版，之后Springer已重印8次,《布朗运动和随机计算》(第2版)是2005年的第8次重印版。
目录 Preface
Suggestions for the Reader
Interdependence of the Chapters
Frequently Used Notation
CHAPTER 1 Martingales， Stopping Times， and Filtrations
1.1. Stochastic Processes and (y-Fields
1.2. Stopping Times
1.3. Continuous-Time Martingales
1.4. The Doob-Meyer Decomposition
1.5. Continuous， Square-Integrable Martingales
1.6. Solutions to Selected Problems
1.7. Notes
CHAPTER 2 Brownian Motion
2.1. Introduction
2.2. First Construction of Brownian Motion
2.3. Second Construction of Brownian Motion
2.4. The Space C[0， ∞)， Weak Convergence， and Wiener Measure
2.5. The Markov Property
2.6. The Strong Markov Property and the Reflection Principle
2.7. Brownian Filtrations
2.8. Computations Based on Passage Times
2.9. The Brownian Sample Paths
2.10. Solutions to Selected Problems
2.11. Notes
CHAPTER 3 Stochastic Integration
3.1 Introduction
3.2 Construction of the Stochastic Integral
3.3 The Change-of-Variable Formula
3.4 Representations of Continuous Martingales in Terms of Brownian Motion
……
CHAPTER 4 Brownian Motion and Partial Differential Equations
CHAPTER 5 Stochastic Differential Equations
CHAPTER 6 P.Levy's Theory of Brownian Local Time
Bibliography
Index
……
序言 Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property.* This book is written for readers who are acquainted with both of these ideas in the discrete-time setting, and who now wish to explore stochastic processes in their continuoustime context. It has been our goal to write a systematic and thorough exposition of this subject, leading in many instances to the frontiers of knowledge.At the same time, we have endeavored to keep the mathematical prerequisites as low as pos..
