Stochastic Integrals

Henry P. McKean

1969년 1월 · AMS Chelsea Publishing Series 353권 · American Mathematical Soc.

eBook

141

페이지

검증되지 않은 평점과 리뷰입니다. 자세히 알아보기

eBook 정보

The AMS is excited to bring this volume, originally published in 1969, back into print. This well-written book has been used for many years to learn about stochastic integrals. The author starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Ito lemma. The rest of the book is devoted to various topics of stochastic integral equations and stochastic integral equations on smooth manifolds. E. B. Dynkin wrote aboutthe original edition in Mathematical Reviews: "This little book is a brilliant introduction to an important boundary field between the theory of probability and that of differential equations ... differential and integral calculus based upon Brownian motion." These words continue to ring true today.This classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.