Markov Processes from K. Itô's Perspective (AM-155) / / Daniel W. Stroock.
Kiyosi Itô's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an account of Itô's program. The modern theo...
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| Superior document: | Title is part of eBook package: De Gruyter Princeton Annals of Mathematics eBook-Package 1940-2020 |
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| Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2003] ©2003 |
| Year of Publication: | 2003 |
| Language: | English |
| Series: | Annals of Mathematics Studies ;
155 |
| Online Access: | |
| Physical Description: | 1 online resource (288 p.) |
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Table of Contents:
- Frontmatter
- Contents
- Preface
- Chapter 1. Finite State Space, a Trial Run
- Chapter 2. Moving to Euclidean Space, the Real Thing
- Chapter 3. Itô's Approach in the Euclidean Setting
- Chapter 4. Further Considerations
- Chapter 5. Itô's Theory of Stochastic Integration
- Chapter 6. Applications of Stochastic Integration to Brownian Motion
- Chapter 7. The Kunita-Watanabe Extension
- Chapter 8. Stratonovich's Theory
- Notation
- References
- Index