Stochastic calculus
著者
書誌事項
Stochastic calculus
(Encyclopaedia of mathematical sciences / editor-in-chief, R.V. Gamkrelidze, v. 45 . Probability theory ; 3)
Springer-Verlag, c1998
- タイトル別名
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Probability theory III
Teoriya veroyatoastej-3
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注記
"Title of the Russian edition: Itogi nauki i tekhniki, Sovremennye problemy matematiki, Fundamental'nye napravleniya, vol. 45, Teoriya veroyatoastej-3, publisher VINITI, Moscow 1989"--T.p. verso
Includes bibliographical references and indexes
内容説明・目次
内容説明
This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the field. The book addresses graduate students and researchers in probability theory and mathematical statistics, as well as physicists and engineers who need to apply stochastic methods.
目次
1. Introduction to Stochastic Calculus.- 2. Stochastic Differential and Evolution Equations.- 3. Stochastic Calculus on Filtered Probability Spaces.- 4. Martingales and Limit Theorems for Stochastic Processes.- Author Index.
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