Stochastic Analysis and Diffusion Processes

Stochastic Analysis and Diffusion Processes

by Gopinath Kallianpur, P Sundar


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Product Details

ISBN-13: 9780199657070
Publisher: Oxford University Press
Publication date: 02/06/2014
Pages: 368
Sales rank: 1,278,312
Product dimensions: 6.10(w) x 9.10(h) x 0.90(d)

About the Author

Gopinath Kallianpur, Professor Emeritus, Department of Statistics, University of North Carolina at Chapel Hill,P Sundar, Professor of Mathematics, Department of Mathematics, Louisiana State University

Gopinath Kallianpur, Professor Emeritus at University of North Carolina at Chapel Hill, has worked extensively on Stochastic Analysis and is a world renowned expert on stochastic filtering theory. He is the author of Stochastic Filtering Theory, and a co-author of White Noise Theory of Prediction, Filtering and Smoothing, Introduction to Option Pricing Theory, and Stochastic Differential Equations in Infinite Dimensions.

P. Sundar is a Professor of Mathematics at Louisiana State University. He works on Stochastic Analysis, and is on the Editorial Board for the journal Communications on Stochastic Analysis. He has co-edited a book titled Infinite Dimensional Stochastic Analysis.

Table of Contents

1. Introduction to Stochastic Processes
2. Brownian Motion and Wiener Measure
3. Elements of Martingale Theory
4. Analytic Tools for Brownian Motion
5. Stochastic Integration
6. Stochastic Differential Equations
7. The Martingale Problem
8. Probability Theory and Partial Differential Equations
9. Gaussian Solutions
10. Jump Markov Processes
11. Invariant Measures and Ergodicity
12. Large Deviations for Diffusions

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