Close
Enter your search into one or more of the boxes below:
You can refine your search by selecting from any of the options below:
Search
Brownian Motion and Stochastic Calculus
Foyalty 135

Brownian Motion and Stochastic Calculus (Paperback)

£44.99
Usually despatched within 3 weeks.

Synopsis

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The 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. The whole is backed by a large number of problems and exercises.

Science & MathematicsMathematicsApplied mathematicsStochasticsScience & MathematicsMathematicsProbability & statistics Publisher: Springer-Verlag New York Inc. Publication Date: 25/08/2004 ISBN-13: 9780387976556  Details: Type: Paperback Format: Books
Availability: Usually despatched within 3 weeks. Add to Basket

More books by Ioannis Karatzas

More books by Steven E. Shreve

Leave Review

Delivery

Delivery Options

All delivery times quoted are the average, and cannot be guaranteed. These should be added to the availability message time, to determine when the goods will arrive. During checkout we will give you a cumulative estimated date for delivery.

Location 1st Book Each additional book Average Delivery Time
UK Standard Delivery Free Free 3-5 Days
UK First Class £3.75 £0.00 1-2 Days
Delivery to a Foyles Bookshop Free Free From 2 hours
Click and Collect Free Free From 2 hours - Individual item delivery times given at checkout
UK Courier £7.95 £0.00 1 Working Day
Western Europe**Airmail £9.00 £1.00 7-8 Days
Rest of World Airmail £12.50 £1.00 7-10 Days

** Includes Austria, Belgium, Denmark, France, Germany, Greece, Iceland, Irish Republic, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden and Switzerland.

Click and Collect is available for all our shops; collection times will vary depending on availability of items. Individual despatch times for each item will be given at checkout.

Special delivery items

A Year of Books Subscription Packages 

Delivery is free for the UK. Western Europe costs £60 for each 12 month subscription package purchased. For the Rest of the World the cost is £100 for each package purchased. All delivery costs are charged in advance at time of purchase. For more information please visit the A Year of Books page.

Animator's Survival Kit

For delivery charges for the Animator's Survival Kit please click here.

 

Delivery Help & FAQs

Returns Information

If you are not completely satisfied with your purchase*, you may return it to us in its original condition with in 30 days of receiving your delivery or collection notification email for a refund. Except for damaged items or delivery issues the cost of return postage is borne by the buyer. Your statutory rights are not affected.

* For Exclusions and terms on damaged or delivery issues see Returns Help & FAQs

You might also like

Numerical Solution of Stochastic...
(Hardback)
Peter E. Kloeden; Eckhard Platen
 
 
£74.99
 
Applications of Percolation Theory,...
(Hardback)
Muhammad Sahimi
 
 
£140.00
 
Probability, Statistics, and...
(Hardback)
Aliakbar Montazer Haghighi; Indika...
 
 
£130.00
 
Introduction To Stochastic Processes
(Hardback)
Yong-Hua Mao; Mu-Fa Chen
 
 
£65.00
 
© W&G Foyle Ltd
Foyles uses cookies to help ensure your experience on our site is the best possible. Click here if you’d like to find out more about the types of cookies we use.
Accept and Close