Stochastic Analysis

Shigeo Kusuoka

$227.95 $182.26

Hardback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We then advise you accordingly. If the time taken to get any book is too long for you, you can let us know and we will cancel or adjust your order, and refund as required.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Springer Verlag, Singapore
20 October 2020

Functional analysis & transforms; Integral calculus & equations; Probability & statistics; Applied mathematics; Stochastics

Series: Monographs in Mathematical Economics

This book is intended for university seniors and graduate students majoring in probability theory or mathematical finance. In the first chapter, results in probability theory are reviewed. Then, it follows a discussion of discrete-time martingales, continuous time square integrable martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and stochastic differential equations driven by Brownian motions. In the final chapter, applications to mathematical finance are given. The preliminary knowledge needed by the reader is linear algebra and measure theory. Rigorous proofs are provided for theorems, propositions, and lemmas.

In this book, the definition of conditional expectations is slightly different than what is usually found in other textbooks. For the Doob–Meyer decomposition theorem, only square integrable submartingales are considered, and only elementary facts ofthe square integrable functions are used in the proof. In stochastic differential equations, the Euler–Maruyama approximation is used mainly to prove the uniqueness of martingale problems and the smoothness of solutions of stochastic differential equations.

By: Shigeo Kusuoka
Imprint: Springer Verlag, Singapore
Country of Publication: Singapore
Edition: 2020 ed.
Volume: 3
Dimensions: Height: 235mm, Width: 155mm,
Weight: 518g
ISBN: 9789811588631
ISBN 10: 9811588635
Series: Monographs in Mathematical Economics
Pages: 218
Publication Date: 20 October 2020
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

The author is currently Professor Emeritus at The University of Tokyo and visiting Professor at Meiji University. He previously held positions at The University of Tokyo and Research Institute for Mathematical Sciences, Kyoto University. He was an invited speaker at the ICM 1990.

Reviews for Stochastic Analysis

This book is an introductory course on stochastic analysis for advanced students with previous knowledge in probability theory and measure theory. ... The presentation of the theory is detailed and rigorous, both in terms of results and proofs. ... The book can be an excellent textbook for an introductory course on stochastic analysis, with a strong emphasis on the central notion of martingales. (Josep Vives, Mathematical Reviews, April, 2022)