Stochastic Processes: General Theory

By:

Malempati M. Rao

Format:

Paperback / softback

Series:

Mathematics and its Applications

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Description

Stochastic Processes: General Theory 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: a unique feature of the book. 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 extensive references: many avenues of research are suggested. The book is a completely revised and enlarged version of the author's Stochastic Processes and Integration (Noordhoff, 1979). The new title reflects the content and generality of the extensive amount of new material. Audience: 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

December 7th, 2010

Author

Malempati M. Rao

Audience

Professional & Vocational

Edition

Softcover reprint of hardcover 1st ed. 1995

Illustrations

XII, 628 p.

Pages

628

Series

Mathematics and its Applications

Dimensions

156x234x32

ISBN-13

9781441947499

Product ID

11077344

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