图书标签: 数学 金融 金融数学 金融工程 Mathematics 统计学 quant Probability
发表于2025-03-21
Brownian Motion and Stochastic Calculus pdf epub mobi txt 电子书 下载 2025
A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing 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, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book 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 whole is backed by a large number of problems and exercises.
如所有经典教材一样包罗万象
评分如所有经典教材一样包罗万象
评分不及Shreve的那两本清晰,当然也是因为研究生教材更难一些
评分我喜欢他的理论化系统化和有例题有讲解的态度。(各位数学大牛很喜欢把很多东西看成"显然",殊不知很多"显然的"对于初学者实在是很难。)虽然我觉得他在表述上有些罗嗦,而且整本书结构结构不适很合理,从Stopping time开始,然后又突然说Brownian motion,然后又突然讲Martingale. 既然我们要做的是Calculus,当然就要以Martingale作为核心理论逐次展开,这样才能让人比较容易理解到底是要讨论什么啊。
评分如所有经典教材一样包罗万象
这书写作上有些问题。读前两章时根本不知道作者要干什么,直到读到第三章,才发现原来这是一本关于鞅论的书。读到四五章才明白前面忙活半天是为了什么。到最后一章又不明白作者要干什么了。 这完全是本反方向的书,既不从特殊到一般,又不从应用引出理论。上来就直接对鞅对局部...
Brownian Motion and Stochastic Calculus pdf epub mobi txt 电子书 下载 2025