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Stochastic Processes : General Theory :  General Theory - Malempati M. Rao

Stochastic Processes : General Theory

General Theory

Hardcover Published: May 2009
ISBN: 9780792337256
Number Of Pages: 628

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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.

Introduction and foundationsp. 1
Conditioning and martingalesp. 61
Stochastic function theoryp. 165
Refinements in martingale analysisp. 233
Martingale decompositions and integrationp. 333
Stochastic integrals and differential systemsp. 445
Stochastic analysis on differential structuresp. 539
Bibliographyp. 589
Notation indexp. 611
Author indexp. 615
Subject indexp. 619
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780792337256
ISBN-10: 0792337255
Series: Mathematics and Its Applications
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 628
Published: May 2009
Country of Publication: NL
Dimensions (cm): 25.4 x 17.78  x 3.51
Weight (kg): 1.32

Earn 426 Qantas Points
on this Book