Brownian Motion and Stochastic Calculus
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.
août 1991, 496 pages, Graduate Texts in Mathematics, Bd. 113, Anglais
Springer, Humana
978-0-387-97655-6
Springer, Humana
978-0-387-97655-6