Stochastic integrals

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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...

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Autor principal: McKean, Henry P
Lenguaje:eng
Publicado: American Mathematical Society 2005
Materias:
Mathematical Physics and Mathematics
Acceso en línea:http://cds.cern.ch/record/2264126
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author McKean, Henry P
author_facet McKean, Henry P
author_sort McKean, Henry P
collection CERN
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 supplemen
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institution Organización Europea para la Investigación Nuclear
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publishDate 2005
publisher American Mathematical Society
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spelling cern-22641262021-04-21T19:13:42Zhttp://cds.cern.ch/record/2264126engMcKean, Henry PStochastic integralsMathematical Physics and MathematicsThis 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 supplemenAmerican Mathematical Societyoai:cds.cern.ch:22641262005
spellingShingle Mathematical Physics and Mathematics
McKean, Henry P
Stochastic integrals
title Stochastic integrals
title_full Stochastic integrals
title_fullStr Stochastic integrals
title_full_unstemmed Stochastic integrals
title_short Stochastic integrals
title_sort stochastic integrals
topic Mathematical Physics and Mathematics
url http://cds.cern.ch/record/2264126
work_keys_str_mv AT mckeanhenryp stochasticintegrals

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