Stochastic Integrals
( AMS Chelsea Publishing )
Publication series ：AMS Chelsea Publishing
Author： Henry P. McKean
Publisher： American Mathematical Society
Publication year： 2005
E-ISBN: 9781470430290
P-ISBN(Hardback): 9780821838877
Subject： O211.5 Random Variables
Keyword： 暂无分类
Language： ENG
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Stochastic Integrals
Description
This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations. —E. B. Dynkin, Mathematical Reviews This well-written book has been used for many years to learn about stochastic integrals. The book 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, including those on smooth manifolds. Originally published in 1969, 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.
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