Stochastic processes : general theory

Bibliographic Information

Stochastic processes : general theory

by M.M. Rao

(Mathematics and its applications, v. 342)

Kluwer Academic Publishers, c1995

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Note

Bibliography: p. 589-609

Includes indexes

Description and Table of Contents

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.

Table of Contents

Preface. I. Introduction and foundations. II. Conditioning and martingales. III. Stochastic function theory. IV. Refinements in martingale analysis. V. Martingale decompositions and integration. VI. Stochastic integrals and differential systems. VII. Stochastic analysis on differential structures. Bibliography. Notation index. Author index. Subject index.

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Details

  • NCID
    BA26473737
  • ISBN
    • 0792337255
  • LCCN
    95020902
  • Country Code
    ne
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Dordrecht
  • Pages/Volumes
    xii, 623 p.
  • Size
    25 cm
  • Classification
  • Subject Headings
  • Parent Bibliography ID
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