Markov Processes from K. Itô's Perspective (AM-155)
Kiyosi Itô's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an account of Itô's program. The modern th...
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Format: | Électronique eBook |
Langue: | Inglés |
Publié: |
Princeton :
Princeton University Press,
2003.
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Collection: | Book collections on Project MUSE.
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Sujets: | |
Accès en ligne: | Texto completo |
Table des matières:
- Frontmatter
- Contents
- Preface
- Chapter 1. Finite State Space, a Trial Run
- Chapter 2. Moving to Euclidean Space, the Real Thing
- Chapter 3. Itô's Approach in the Euclidean Setting
- Chapter 4. Further Considerations
- Chapter 5. Itô's Theory of Stochastic Integration
- Chapter 6. Applications of Stochastic Integration to Brownian Motion
- Chapter 7. The Kunita-Watanabe Extension
- Chapter 8. Stratonovich's Theory
- Notation
- References
- Index.