Titre :	Probability theory Vol. III : stochastic calculus
Type de document :	texte imprimé
Auteurs :	Yu. V. Prokhorov, Auteur ; A. N. Shiryaev, Auteur ; P. B. Slater, Traducteur
Editeur :	New York : Springer-Verlag
Année de publication :	1998
Collection :	Encyclopaedia of Mathematical Sciences
Importance :	253 p.
Présentation :	couv. ill. en coul.
Format :	24 cm.
ISBN/ISSN/EAN :	978-3-540-54687-1
Langues :	Anglais (eng)
Catégories :	MATHEMATIQUES
Index. décimale :	04-05 Probabilité et statistique
Résumé :	This volume of the Encyclopaedia is a survey of stochastic calculus which has become an increasingly important part of probability. The topics covered include Brownian motion, the Ito integral, stochastic differential equations and Malliavin calculus, the general theory of random processes and martingale theory. The five authors are well-known experts in the field. The first chapter of the book is an introduction which treats Brownian motion and describes the developments which lead to the definition of Ito's integral. The book addresses graduate students and researchers in probability theory and mathematical statistics and will also be used by physicists and engineers who need to apply stochastic methods.
Note de contenu :	Contents Chapter 1 Introduction to Stochastic Calculus Chapter 2 Stochastic Differential and Evolution Equations I Stochastic Differential Equations (SDEs) II Stochastic Evolution Equations III Stochastic Calculus (Malliavin Calculus). Applications to Stochastic Differential Equations Chapter 3 Stochastic Calculus on Filtered Probability Spaces I Elements of the General Theory of Stochastic Processes II Semimartingales. Stochastic Integrals III Absolute Continuity and Singularity of Probability Distributions Chapter 4 Martingales and Limit Theorems for Stochastic Processes I Theory: Weak Convergence of Probability Measures on Metric Spaces II Applications: The Invariance Principle and Diffusion Approximation Author Index Subject Index

Probability theory Vol. III : stochastic calculus [texte imprimé] / Yu. V. Prokhorov, Auteur ; A. N. Shiryaev, Auteur ; P. B. Slater, Traducteur . - New York : Springer-Verlag, 1998 . - 253 p. : couv. ill. en coul. ; 24 cm.. - (Encyclopaedia of Mathematical Sciences) .
ISSN : 978-3-540-54687-1
Langues : Anglais (eng)

Catégories :	MATHEMATIQUES
Index. décimale :	04-05 Probabilité et statistique
Résumé :	This volume of the Encyclopaedia is a survey of stochastic calculus which has become an increasingly important part of probability. The topics covered include Brownian motion, the Ito integral, stochastic differential equations and Malliavin calculus, the general theory of random processes and martingale theory. The five authors are well-known experts in the field. The first chapter of the book is an introduction which treats Brownian motion and describes the developments which lead to the definition of Ito's integral. The book addresses graduate students and researchers in probability theory and mathematical statistics and will also be used by physicists and engineers who need to apply stochastic methods.
Note de contenu :	Contents Chapter 1 Introduction to Stochastic Calculus Chapter 2 Stochastic Differential and Evolution Equations I Stochastic Differential Equations (SDEs) II Stochastic Evolution Equations III Stochastic Calculus (Malliavin Calculus). Applications to Stochastic Differential Equations Chapter 3 Stochastic Calculus on Filtered Probability Spaces I Elements of the General Theory of Stochastic Processes II Semimartingales. Stochastic Integrals III Absolute Continuity and Singularity of Probability Distributions Chapter 4 Martingales and Limit Theorems for Stochastic Processes I Theory: Weak Convergence of Probability Measures on Metric Spaces II Applications: The Invariance Principle and Diffusion Approximation Author Index Subject Index