Brownian motion and stochastic calculus / Ioannis Karatzas, Steven E. Shreve.

This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, whic...

Full description

Bibliographic Details

Online Access:	Full Text (via Springer)
Main Authors:	Karatzas, Ioannis (Author), Shreve, Steven E. (Author)
Format:	eBook
Language:	English
Published:	New York : Springer, 1996.
Edition:	Second edition.
Series:	Graduate texts in mathematics ; 113.
Subjects:	Brownian motion processes. Stochastic analysis.