Probability Theory III
Subtitle: Stochastic Calculus
By: by Yu. V. Prokhorov, A. N. Shiryaev
Contributors: Shiryaev, A. N.
Series: Encyclopaedia of Mathematical Sciences -- 45; Encyclopaedia of Mathematical Sciences -- 45
Publisher: Springer Berlin Heidelberg
Published: 1998
Place of publication: Berlin, Heidelberg
Language: eng
Format: [electronic resource] :
Number of pages: 256
ISBN-13: 9783642081224; 9783662036402
Subjects: Mathematics; Distribution (Probability theory); Statistics; Engineering
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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