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Brownian Motion Martingales and Stochastic Calculus

mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such;

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Brownian Motion and Stochastic Calculus

stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example;

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An Introduction to Stochastic Integration

of martingales, the Feynman-Kac functional and Schrödinger equation. For Brownian motion, the topics of local time, reflected Brownian motion, and time;

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Random Walk, Brownian Motion, and Martingales

. Random Walk, Brownian Motion, and Martingales is an ideal introduction to the rigorous study of stochastic processes. Students and instructors;

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Some Aspects of Brownian Motion

: martingales and stochastic calculus. As F. Knight writes, in a review article on Part I, in which research on Brownian motion is compared to gold;

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Stochastic Calculus and Differential Equations for Physics and Finance

series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional;

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Introduction to Malliavin Calculus

motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be;

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Introduction to Malliavin Calculus

motion and stochastic calculus, as well as Levy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be;

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Seminaire de Probabilites XXIII

Besides a number of papers on classical areas of research in probability such as martingale theory, Malliavin calculus and 2-parameter;

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Theory and Statistical Applications of Stochastic Processes

Gaussian processes, Ito integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation;

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Brownian Models of Performance and Control

Direct and to the point, this book from one of the field's leaders covers Brownian motion and stochastic calculus at the graduate level;

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Stochastic Integration Theory

(martingales, Levy processes) and important examples (Brownian motion, Poisson process).;

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Stochastic Processes

Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory;

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Course In Financial Calculus

of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived;

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A Course in Financial Calculus

of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived;

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Options Pricing and Portfolio Optimization

in probability theory, as it includes an applied introduction to the basics of stochastic processes (martingales and Brownian motion) and stochastic;

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Derivative Security Pricing

of the key concepts are covered including Ito's Lemma, martingales, Girsanov's theorem, Brownian motion, jump processes, stochastic volatility;

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Selected Aspects of Fractional Brownian Motion

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others;

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Selected Aspects of Fractional Brownian Motion

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others;

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Foundations of Iso-Differential Calculus

-probability space, random iso-variable of the first, second, third, fourth and fifth kind, iso-expected values, iso-martingales, iso-Brownian motion;

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Measure Theory and Filtering

of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales;

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Measure Theory and Filtering

of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales;

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Classical Potential Theory and Its Probabilistic Counterpart

Laplace's equation and the heat equation, and Part 2 develops those parts (martingales and Brownian motion) of stochastic process theory which are;

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Malliavin Calculus For Levy Processes And Infinite-Dimension

calculus and infinite-dimensional Brownian motion. In an effort to demystify a subject thought to be difficult, it exploits the framework;

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Probability and Stochastics

measures, Levy Processes, Brownian motion, and Markov Processes. Special attention is paid to Poisson random measures and their roles;

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Set-Indexed Martingales

, predictability, Doob-Meyer decompositions, martingale characterizations of the set-indexed Poisson process, and Brownian motion. Part Two addresses;

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Brownian Motion

) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian;

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