| 000 -LEADER |
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| fixed length control field |
a |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
220609b xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9789811588662 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519.22 |
| Item number |
KUS |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Kusuoka, Shigeo |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Stochastic analysis |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Name of publisher, distributor, etc |
Springer, |
| Date of publication, distribution, etc |
2020 |
| Place of publication, distribution, etc |
Singapore : |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xii, 218 p. ; |
| Other physical details |
ill., |
| Dimensions |
23 cm |
| 365 ## - TRADE PRICE |
|---|
| Price amount |
34.99 |
| Price type code |
EUR |
| Unit of pricing |
86.00 |
| 490 ## - SERIES STATEMENT |
|---|
| Series statement |
Monographs in Mathematical Economics |
| Volume number/sequential designation |
v.3 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas. In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob-Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts of the square integrable functions are used in the proof. In stochastic differential equations, the Euler-Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematical Economic |
|
|---|
| Topical term or geographic name as entry element |
Stochastic Analysis |
|
|---|
| Topical term or geographic name as entry element |
Monographs |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
Books |