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1.

図書

図書
Andrei N. Borodin, Paavo Salminen
出版情報: Basel : Birkhäuser, c2002  xv, 672 p. ; 24 cm
シリーズ名: Probability and its applications
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2.

図書

図書
Ioannis Karatzas, Steven E. Shreve
出版情報: New York : Springer, c1998  xv, 407 p. ; 24 cm
シリーズ名: Applications of mathematics ; 39
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目次情報: 続きを見る
A Brownian Motion of Financial Markets
Contingent Claim Valuation in a Complete Market
Single-Agent Consumption and Investment
Equilibrium in a Complete Market
Contingent Claims in Incomplete Markets
Constrained Consumption and Investment
A Brownian Motion of Financial Markets
Contingent Claim Valuation in a Complete Market
Single-Agent Consumption and Investment
3.

図書

図書
Daniel Revuz, Marc Yor
出版情報: Berlin ; New York ; Tokyo : Springer-Verlag, c1999  xiii, 602 p. ; 24 cm
シリーズ名: Die Grundlehren der mathematischen Wissenschaften ; 293
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4.

図書

図書
Kazuaki Taira
出版情報: Berlin : Wiley-VCH, c1998  215 p. ; 24 cm
シリーズ名: Mathematical research ; vol. 106
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5.

図書

図書
Marc Yor
出版情報: Berlin : Springer, c2001  vii, 203 p. ; 24 cm
シリーズ名: Springer finance
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目次情報: 続きを見る
On certain exponential functions of real Brownian motion
On Some Exponential Functionals of Brownian Motion
Some relations between Bessel processes
Asian options and confluent hypergeometric functions
The laws of exponential functions of Brownian motion, taken at various random times
Bessel Processes
Asian option and perpetuities
Further Results on Exponential Functionals of Brownian Motion
From Planar Brownian Windings to Asian Options
On exponential functions of certain Levy processes
On Some Exponential-Integral Functionals of Bessel Processes
Exponential Functionals of Brownian Motion and Disordered Systems
On certain exponential functions of real Brownian motion
On Some Exponential Functionals of Brownian Motion
Some relations between Bessel processes
6.

図書

図書
Daniel Neuenschwander
出版情報: Berlin : Springer, c1996  viii, 139 p. ; 24 cm
シリーズ名: Lecture notes in mathematics ; 1630
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7.

図書

図書
J. Michael Harrison
出版情報: New York : Wiley, c1985  xxi, 140 p. ; 24 cm
シリーズ名: Wiley series in probability and mathematical statistics ; . Applied probability and statistics
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8.

図書

図書
by Frank B. Knight
出版情報: Providence, R.I. : American Mathematical Society, 1981  xiii, 201 p. ; 27 cm
シリーズ名: Mathematical surveys ; no. 18
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9.

図書

図書
Horst Osswald
出版情報: Cambridge : Cambridge University Press, 2012  xix, 407 p. ; 24 cm
シリーズ名: Cambridge tracts in mathematics ; 191
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目次情報: 続きを見る
The Fundamental Principles / Part I:
Preface / 1:
Martingales / 2:
Fourier and Laplace transformations / 3:
Abstract Wiener-Fréchet spaces / 4:
Two concepts of no-anticipation in time / 5:
Malliavin calculus on the space of real sequences / 6:
Introduction to poly-saturated models of mathematics / 7:
Extension of the real numbers and properties / 8:
Topology / 9:
Measure and integration on Loeb spaces / 10:
An Introduction to Finite- and Infinite-Dimensional Stochastic Analysis / Part II:
From finite- to infinite-dimensional Brownian motion / 11:
The Itô integral for infinite-dimensional Brownian motion / 12:
The iterated integral / 13:
Infinite-dimensional Ornstein-Uhlenbeck processes / 14:
Lindstrøm's construction of standard Lévy processes from discrete ones / 15:
Stochastic integration for Lévy processes / 16:
Malliavin Calculus / Part III:
Chaos decomposition / 17:
The Malliavin derivative / 18:
The Skorokhod integral / 19:
The interplay between derivative and integral / 20:
Skorokhod integral processes / 21:
Girsanov transformation / 22:
Malliavin calculus for Lévy processes / 23:
Poly-saturated models / Appendix A:
The existence of poly-saturated models / Appendix B:
References
Index
The Fundamental Principles / Part I:
Preface / 1:
Martingales / 2:
10.

図書

図書
David Freedman
出版情報: San Francisco : Holden-Day, c1971  xii, 231 p ; 24 cm
シリーズ名: Holden-Day series in probability and statistics
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