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Brownian Motion and Stochastic Calculus

Ioannis Karatzas

The book 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.

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Available editions

Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics, 113)

Paperback

Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)

Paperback

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Length: 490 pages

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