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Probability Theory III on Hardback
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Probability Theory III

Stochastic Calculus
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Description

This volume of the Encyclopaedia is a survey of stochastic calculus which has become an increasingly important part of probability. The topics covered include Brownian motion, the Ito integral, stochastic differential equations and Malliavin calculus, the general theory of random processes and martingale theory. The five authors are well-known experts in the field. The first chapter of the book is an introduction which treats Brownian motion and describes the developments which lead to the definition of Ito's integral. The book addresses graduate students and researchers in probability theory and mathematical statistics and will also be used by physicists and engineers who need to apply stochastic methods.
Release date NZ
November 25th, 1997
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
Contributors
  • Contributions by A. Yu. Veretennikov
  • Contributions by A.N. Shiryaev
  • Contributions by N.V. Krylov
  • Contributions by R.S. Liptser
  • Contributions by S. V. Anulova
  • Edited by Albert N. Shiryaev
  • Edited by Yurij V Prokhorov
  • Translated by P.B. Slater
Illustrations
VI, 256 p.
Pages
256
Dimensions
156x234x15
ISBN-13
9783540546870
Product ID
2504323

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