Probability Theory III: Stochastic Calculus (Encyclopaedia of Mathematical Sciences) | 
 enlarge | Creators: S.v. Anulova, N.v. Krylov, R.s. Liptser, A.n. Shiryaev, A.yu. Veretennikov, Yurij V. Prokhorov, Albert N. Shiryaev, P.b. Slater
Publisher: Springer
Category: Book
List Price: $169.00
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Sales Rank: 263724
Media: Hardcover
Edition: 1
Pages: 254
Number Of Items: 1
Shipping Weight (lbs): 0.8
Dimensions (in): 9.5 x 6.5 x 0.8
ISBN: 3540546871
Dewey Decimal Number: 519
EAN: 9783540546870
Publication Date: December 9, 1997
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Product Description
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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