Lectures on Stochastic Analysis: Diffusion Theory
Book Details
Format
Hardback or Cased Book
Book Series
London Mathematical Society Student Texts
ISBN-10
0521333660
ISBN-13
9780521333665
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Feb 19th, 1987
Print length
137 Pages
Weight
335 grams
Product Classification:
Probability & statistics
Ksh 5,400.00
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This book is based on a course given at Massachusetts Institute of Technology.
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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