Overview
This book is designed as a text for graduate courses in stochastic processes. It 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 text is complemented by a large number of problems and exercises.
- | Author: Ioannis Karatzas
- | Publisher: Springer
- | Publication Date: Aug 16, 1991
- | Number of Pages: 470 pages
- | Binding: Paperback or Softback
- | ISBN-10: 0387976558
- | ISBN-13: 9780387976556
