Brownian Motion and Stochastic Calculus
By:"Ioannis Karatzas","Steven E. Shreve"
Published on 1991 by Springer Science & Business Media
This book 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. Include a large number of problems and exercises.From the reviews: \
This Book was ranked 18 by Google Books for keyword Semi Markov Migration Models for Credit Risk in Insurance.
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