The Brownian motion. A rigorous but gentle introduction for economists
Publication:2419878
DOI10.1007/978-3-030-20103-6zbMath1426.91005OpenAlexW4245094058MaRDI QIDQ2419878
Lutz Kruschwitz, Löffler, Andras
Publication date: 4 June 2019
Published in: Springer Texts in Business and Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-20103-6
distributionWiener processBrownian motionconditional expectationRiemann integralexpectationLebesgue integralbinomial price model
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial science and mathematical finance (91G99)