Author | Karatzas, Ioannis. author |
---|---|
Title | Brownian Motion and Stochastic Calculus [electronic resource] / by Ioannis Karatzas, Steven E. Shreve |
Imprint | New York, NY : Springer New York : Imprint: Springer, 1998 |
Edition | Second Edition |
Connect to | http://dx.doi.org/10.1007/978-1-4612-0949-2 |
Descript | XXIII, 470 p. online resource |
1 Martingales, Stopping Times, and Filtrations -- 1.1. Stochastic Processes and ?-Fields -- 1.2. Stopping Times -- 1.3. Continuous-Time Martingales -- 1.4. The DoobโMeyer Decomposition -- 1.5. Continuous, Square-Integrable Martingales -- 1.6. Solutions to Selected Problems -- 1.7. Notes -- 2 Brownian Motion -- 2.1. Introduction -- 2.2. First Construction of Brownian Motion -- 2.3. Second Construction of Brownian Motion -- 2.4. The SpaceC[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 -- 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 -- 3.5. The Girsanov Theorem -- 3.6. Local Time and a Generalized Itรด Rule for Brownian Motion -- 3.7. Local Time for Continuous Semimartingales -- 3.8. Solutions to Selected Problems -- 3.9. Notes -- 4 Brownian Motion and Partial Differential Equations -- 4.1. Introduction -- 4.2. Harmonic Functions and the Dirichlet Problem -- 4.3. The One-Dimensional Heat Equation -- 4.4. The Formulas of Feynman and Kac -- 4.5. Solutions to selected problems -- 4.6. Notes -- 5 Stochastic Differential Equations -- 5.1. Introduction -- 5.2. Strong Solutions -- 5.3. Weak Solutions -- 5.4. The Martingale Problem of Stroock and Varadhan -- 5.5. A Study of the One-Dimensional Case -- 5.6. Linear Equations -- 5.7. Connections with Partial Differential Equations -- 5.8. Applications to Economics -- 5.9. Solutions to Selected Problems -- 5.10. Notes -- 6 P. Lรฉvyโs Theory of Brownian Local Time -- 6.1. Introduction -- 6.2. Alternate Representations of Brownian Local Time -- 6.3. Two Independent Reflected Brownian Motions -- 6.4. Elastic Brownian Motion -- 6.5. An Application: Transition Probabilities of Brownian Motion with Two-Valued Drift -- 6.6. Solutions to Selected Problems -- 6.7. Notes