by Ioannis Karatzas (Author), Steven Shreve (Author)
This book is designed as a text for graduate courses in stochastic processes. It contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.
Number of Pages: 470
Dimensions: 1.1 x 9.1 x 6.1 IN
Publication Date: August 16, 1991