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Lectures on Stochastic Analysis
Contributor(s): Stroock, Daniel W. (Author), Bruce, J. W. (Editor)

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 ISBN: 0521336457     ISBN-13: 9780521336451
Publisher: Cambridge University Press
OUR PRICE: $36.09  

Binding Type: Paperback
Published: February 1987
Qty:

Annotation: This book is based on a course given at Massachusetts Institute of Technology.

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Additional Information
BISAC Categories:
- Mathematics | Probability & Statistics - General
- Mathematics | Differential Equations - General
Dewey: 519.233
LCCN: 86020782
Series: Cambridge Introduction to World History
Physical Information: 0.33" H x 6" W x 9" L (0.47 lbs) 140 pages
Features: Index
 
Descriptions, Reviews, Etc.
Publisher Description:
This book is based on a course given at Massachusetts Institute of Technology. It is intended to be a reasonably self-contained introduction to stochastic analytic techniques that can be used in the study of certain problems. The central theme is the theory of diffusions. In order to emphasize the intuitive aspects of probabilistic techniques, diffusion theory is presented as a natural generalization of the flow generated by a vector field. Essential to the development of this idea is the introduction of martingales and the formulation of diffusion theory in terms of martingales. The book will make valuable reading for advanced students in probability theory and analysis and will be welcomed as a concise account of the subject by research workers in these fields.
 
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