The Brownian motion. A rigorous but gentle introduction for economists

DOI10.1007/978-3-030-20103-6zbMath1426.91005MaRDI 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

zbMATH Keywords

distribution; Wiener process; Brownian motion; conditional expectation; Riemann integral; expectation; Lebesgue integral; binomial price model

Mathematics Subject Classification ID

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

26A42: Integrals of Riemann, Stieltjes and Lebesgue type

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G99: Actuarial science and mathematical finance