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《布朗運動和隨機計算》(第2版)初版於1988年,1991年齣第2版,之後Springer已重印8次,《布朗運動和隨機計算》(第2版)是2005年的第8次重印版。
內容簡介
本書是Springer《數學研究生叢書》之113捲,是國內外公認的金融數學經典教材,各章有習題詳解。本書初版於1988年,1991年齣第2版,之後Springer已重印8次,本書是2005年的第8次重印版。
目錄
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.Levys Theory of Brownian Local Time
Bibliography
Index
前言/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..
布朗運動和隨機計算(第2版) epub pdf mobi txt 電子書 下載 2025
布朗運動和隨機計算(第2版) 下載 epub mobi pdf txt 電子書
評分
☆☆☆☆☆
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..
評分
☆☆☆☆☆
本書是Springer《數學研究生叢書》之113捲,是國內外公認的金融數學經典教材,各章有習題詳解。本書初版於1988年,1991年齣第2版,之後Springer已重印8次,本書是2005年的第8次重印版。這本書的特點是非常全麵,一切關於布朗運動的知識、連續半鞅隨機積分ITO公式的各種變形,都可以從該書找到,不是正文就是習題。寫得也極具啓發性,比如和一個stopping time相聯係的sigma代數filtration,一般的書都是直接給齣個定義,隻有這本書解釋瞭為什麼會有這樣的定義。
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☆☆☆☆☆
印刷挺好的,紙張質量也不錯,內容非常經典。
評分
☆☆☆☆☆
好書,得努力學習哈,不能當騙子
評分
☆☆☆☆☆
水平很高 需要很好的數學底子
評分
☆☆☆☆☆
不錯不湊不錯不錯不粗不錯不粗粗布哦
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☆☆☆☆☆
書是很好的
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joly
評分
☆☆☆☆☆
很好。時間很快