Brownian Motion, Martingales, and Stochastic Calculus (Q2798413)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Brownian Motion, Martingales, and Stochastic Calculus |
scientific article |
Statements
Brownian Motion, Martingales, and Stochastic Calculus (English)
0 references
12 April 2016
0 references
stochastic calculus
0 references
Brownian motion
0 references
martingale, supermartingale
0 references
semimartingale
0 references
Markov process
0 references
filtration
0 references
stopping time
0 references
Itô formula
0 references
Girsanov's theorem
0 references
stochastic differential equation
0 references
local time
0 references
sample paths
0 references
