Graduate Texts in Mathematics Series
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About this series
Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides astrong theoretical background to the reader interested in such developments.
Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
Titles in the series (4)
- Differential Forms in Algebraic Topology
82
The guiding principle in this book is to use differential forms as an aid in exploring some of the less digestible aspects of algebraic topology. Accord ingly, we move primarily in the realm of smooth manifolds and use the de Rham theory as a prototype of all of cohomology. For applications to homotopy theory we also discuss by way of analogy cohomology with arbitrary coefficients. Although we have in mind an audience with prior exposure to algebraic or differential topology, for the most part a good knowledge of linear algebra, advanced calculus, and point-set topology should suffice. Some acquaintance with manifolds, simplicial complexes, singular homology and cohomology, and homotopy groups is helpful, but not really necessary. Within the text itself we have stated with care the more advanced results that are needed, so that a mathematically mature reader who accepts these background materials on faith should be able to read the entire book with the minimal prerequisites. There aremore materials here than can be reasonably covered in a one-semester course. Certain sections may be omitted at first reading with out loss of continuity. We have indicated these in the schematic diagram that follows. This book is not intended to be foundational; rather, it is only meant to open some of the doors to the formidable edifice of modern algebraic topology. We offer it in the hope that such an informal account of the subject at a semi-introductory level fills a gap in the literature.
- The Arithmetic of Elliptic Curves
106
The theory of elliptic curves is distinguished by its long history and by the diversity of the methods that have been used in its study. This book treats the arithmetic theory of elliptic curves in its modern formulation, through the use of basic algebraic number theory and algebraic geometry. The book begins with a brief discussion of the necessary algebro-geometric results, and proceeds with an exposition of the geometry of elliptic curves, the formal group of an elliptic curve, elliptic curves over finite fields, the complex numbers, local fields, and global fields. The last two chapters deal with integral and rational points, including Siegel’s theorem and explicit computations for the curve Y^2 = X^3 + DX.
- Homotopical Topology
273
This textbook on algebraic topology updates a popular textbook from the golden era of the Moscow school of I. M. Gelfand. The first English translation, done many decades ago, remains very much in demand, although it has been long out-of-print and is difficult to obtain. Therefore, this updated English edition will be much welcomed by the mathematical community. Distinctive features of this book include: a concise but fully rigorous presentation, supplemented by a plethora of illustrations of a high technical and artistic caliber; a huge number of nontrivial examples and computations done in detail; a deeper and broader treatment of topics in comparison to most beginning books on algebraic topology; an extensive, and very concrete, treatment of the machinery of spectral sequences. The second edition contains an entirely new chapter on K-theory and the Riemann-Roch theorem (after Hirzebruch and Grothendieck).
- Brownian Motion, Martingales, and Stochastic Calculus
274
This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides astrong theoretical background to the reader interested in such developments. Beginning graduate or advanced undergraduate students will benefit from this detailed approach to an essential area of probability theory. The emphasis is on concise and efficient presentation, without any concession to mathematical rigor. The material has been taught by the author for several years in graduate courses at two of the most prestigious French universities. The fact that proofs are given with full details makes the book particularly suitable for self-study. The numerous exercises help the reader to get acquainted with the tools of stochastic calculus.
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