Gopinath Kallianpur, P. Sundar

Stochastic Analysis and Diffusion Processes

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Oxford Graduate Texts in Mathe Nr.24
• Verlag: Oxford University Press, USA
• Seitenzahl: 368
• Erscheinungstermin: 16. März 2014
• Englisch
• Abmessung: 241mm x 161mm x 27mm
• Gewicht: 694g
• ISBN-13: 9780199657063
• ISBN-10: 0199657068
• Artikelnr.: 40072624

Autorenporträt

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.

Inhaltsangabe

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