Stochastic Analysis and Diffusion Processes

Zusatztext The book can be recommended for all specialists in probability and stochastic processes and its applications starting from the undergraduate and graduate students and ending with experienced professionals. Informationen zum Autor Gopinath Kallianpur, Professor Emeritus at University of North Carolina at Chapel Hill, has worked extensively on Stochastic Analysis and is a world renowned expert on stochastic filtering theory. He is the author of Stochastic Filtering Theory, and a co-author of White Noise Theory of Prediction, Filtering and Smoothing, Introduction to Option Pricing Theory, and Stochastic Differential Equations in Infinite Dimensions.P. Sundar is a Professor of Mathematics at Louisiana State University. He works on Stochastic Analysis, and is on the Editorial Board for the journal Communications on Stochastic Analysis. He has co-edited a book titled Infinite Dimensional Stochastic Analysis. Klappentext Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications. Zusammenfassung Beginning with the concept of random processes and Brownian motion and building on the theory and research directions in a self-contained manner, this book provides an introduction to stochastic analysis for graduate students, researchers and applied scientists interested in stochastic processes and their applications. Inhaltsverzeichnis 1 Introduction to Stochastic Processes; 2 Brownian Motion and Wiener Measure; 3 Elements of Martingale Theory; 4 Analytic Tools for Brownian Motion; 5 Stochastic Integration; 6 Stochastic Differential Equations; 7 The Martingale Problem; 8 Probability Theory and Partial Differential Equations; 9 Gaussian Solutions; 10 Jump Markov Processes; 11 Invariant Measures and Ergodicity; 12 Large Deviations for Diffusions...

Détails du produit

• Auteurs: Gopinath Kallianpur, Gopinath (Professor Emeritus Kallianpur, Gopinath Sundar Kallianpur, Kallianpur Gopinath, P Sundar, P (Professor of Mathematics Sundar, P. Sundar, Pushpa Sundar
• Edition: Oxford University Press
• Langues: Anglais
• Format d'édition: Livre de poche
• Sortie: 31.10.2013
• EAN: 9780199657070
• ISBN: 978-0-19-965707-0
• Pages: 368
• Thèmes: Oxford Graduate Texts in Mathematics; Oxford Graduate Texts in Mathematics; Oxford Graduate Texts in Mathe
• Catégories: Sciences naturelles, médecine, informatique, technique > Mathématiques > Théorie des probabilités, stochastique, statistiques; MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Applied, Probability & statistics, Stochastics, Mathematical modelling, Probability and statistics