Probability Theory III : Stochastic Calculus /
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 marti...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
1998.
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| Series: | Encyclopaedia of mathematical sciences ;
45. |
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (vi, 256 pages) |
| ISBN: | 9783662036402 (electronic bk.) 3662036401 (electronic bk.) |
| ISSN: | 0938-0396 ; |