Stochastic Processes: General Theory

By:

Malempati M. Rao

Format:

Hardback

Series:

Mathematics and its Applications

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Description

This study starts with the fundamental existence theorem of Kolmogorov, together with several of its extensions to stochastic processes. It treats the function theoretical aspects of processes and includes an extended account of martingales and their generalizations. Various compositions of (quasi- or semi-)martingales and their integrals are given. Here the Bochner boundedness principle plays a unifying role. Applications to higher order stochastic differential equations and their special features are presented in detail. Stochastic processes in a manifold and multiparameter stochastic analysis are also discussed. Each of the seven chapters includes complements, exercises and references. The book is a revised and enlarged version of the author's "Stochastic Processes and Integration" (Noordhoff, 1979). The book should be suitable as a text/reference for second year graduate classes and seminars. A knowledge of real analysis, including Lebesgue integration, is a prerequisite.

Release date Australia

October 31st, 1995

Author

Malempati M. Rao

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational

Illustrations

XII, 628 p.

Pages

628

Series

Mathematics and its Applications

Dimensions

178x254x34

ISBN-13

9780792337256

Product ID

3010249

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