Brownian motion and stochastic calculus (Record no. 1871)

000 -LEADER
fixed length control field 01661nam a2200241Ia 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20241113155430.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 180518s1998 xx 000 0 und d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780387976556
040 ## - CATALOGING SOURCE
Original cataloging agency ICTS-TIFR
050 ## - LIBRARY OF CONGRESS CALL NUMBER
Classification number QA274.75
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Ioannis Karatzas
245 ## - TITLE STATEMENT
Title Brownian motion and stochastic calculus
250 ## - EDITION STATEMENT
Edition statement 2nd ed.
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Name of publisher, distributor, etc. Springer,
Date of publication, distribution, etc. [c1998]
Place of publication, distribution, etc. USA:
300 ## - Physical Description
Pages: 470 p.
490 ## - SERIES STATEMENT
Series statement Graduate Texts in Mathematics
Volume/sequential designation Vol. 113
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note 1. Martingales, Stopping Times, and Filtrations<br/>2. Brownian Motion<br/>3. Stochastic Integration<br/>4. Brownian Motion and Partial Differential Equations<br/>5. Stochastic Differential Equations<br/>6. P. Lévy’s Theory of Brownian Local Time
520 ## - SUMMARY, ETC.
Summary, etc. This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish 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. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). ---summary provided by publisher
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Mathematics
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://link.springer.com/book/10.1007/978-1-4612-0949-2">https://link.springer.com/book/10.1007/978-1-4612-0949-2</a>
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Book
Holdings
Withdrawn status Lost status Damaged status Not for loan Collection code Home library Shelving location Date acquired Full call number Accession No. Koha item type
          ICTS Rack No 5 05/14/2018 QA274.75 01141 Book