Handbook of Stochastic Analysis and Applications: 1st Edition (Hardback) book cover

Handbook of Stochastic Analysis and Applications

1st Edition

Edited by D. Kannan, V. Lakshmikantham

CRC Press

808 pages

Purchasing Options:$ = USD
Hardback: 9780824706609
pub: 2001-10-23
$335.00
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Description

An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Table of Contents

Markov processes and their applications; semimartingale theory and stochastic calculus; white noise theory; stochastic differential equations and its applications; large deviations and applications; a brief introduction to numerical analysis of (ordinary) stochastic differential equations without tears; stochastic differential games and applications; stability and stabilizing control of stochastic systems; stochastic approximation - theory and applications; stochastic manufacturing systems; optimization by stochastic methods; stochastic control methods in asset pricing.

About the Series

Statistics: A Series of Textbooks and Monographs

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Subject Categories

BISAC Subject Codes/Headings:
MAT029010
MATHEMATICS / Probability & Statistics / Bayesian Analysis