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Probability Theory III : Stochastic Calculus

Author: I︠U︡ V Prokhorov; A N Shiryaev
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1998.
Series: Encyclopaedia of mathematical sciences, 45.
Edition/Format:   eBook : Document : English
Summary:
This volume of the Encyclopaedia is a survey of stochastic calculus which has become an increasingly important part of probability. The topics covered include Brownian motion, the Ito integral, stochastic differential equations and Malliavin calculus, the general theory of random processes and martingale theory. The five authors are well-known experts in the field. The first chapter of the book is an introduction  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: I︠U︡ V Prokhorov; A N Shiryaev
ISBN: 9783662036402 3662036401
OCLC Number: 851371871
Description: 1 online resource (vi, 256 pages).
Contents: 1. Introduction to Stochastic Calculus --
2. Stochastic Differential and Evolution Equations --
3. Stochastic Calculus on Filtered Probability Spaces --
4. Martingales and Limit Theorems for Stochastic Processes --
Author Index.
Series Title: Encyclopaedia of mathematical sciences, 45.
Responsibility: by Yu. V. Prokhorov, A.N. Shiryaev.

Abstract:

This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the field. The book addresses graduate students  Read more...

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