Lectures on Stochastic Analysis
Book Details
Format
Paperback / Softback
Book Series
London Mathematical Society Student Texts
ISBN-10
0521336457
ISBN-13
9780521336451
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Feb 19th, 1987
Print length
140 Pages
Weight
220 grams
Dimensions
22.90 x 15.20 x 0.80 cms
Product Classification:
Probability & statisticsProbability and statistics
Ksh 5,200.00
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This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions.
This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
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