Stochastic Integrals

Henry P. McKean

141 pages, parution le 17/11/2005

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Résumé

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 Itô 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 about the original edition in Mathematical Reviews: "This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations." 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.

Readership : Graduate students and research mathematicians interested in probability, stochastic processes, and their applications.

Sommaire

Brownian motion
Stochastic integrals and differentials
Stochastic integral equations (d=1)
Stochastic integral equations (d>=2)
References
Subject index
Errata

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Caractéristiques techniques

	PAPIER
Éditeur(s)	American Mathematical Society (AMS)
Auteur(s)	Henry P. McKean
Parution	17/11/2005
Nb. de pages	141
Format	15,5 x 23,5
Couverture	Relié
Poids	385g
Intérieur	Noir et Blanc
EAN13	9780821838877