Markov Processes from K. Itô's Perspective (AM-155)

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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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Detalles Bibliográficos
Autor principal: Stroock, Daniel W.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton : Princeton University Press, 2003.
Colección:Book collections on Project MUSE.
Temas:
Markov-Prozess
Stochastic integrals.
Markov processes.
MATHEMATICS > Probability & Statistics > Stochastic Processes.
MATHEMATICS > Probability & Statistics > General.
MATHEMATICS > Applied.
Integrales stochastiques.
Processus de Markov.
Mathematical Statistics.
Physical Sciences & Mathematics.
Mathematics.
Markov Chains
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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