南開科技大學圖書館 |

Language: 繁體中文

說明(常見問題)

南開科技大學

圖書館首頁

編目中圖書申請

回首頁

切換: 標籤 | MARC模式 | ISBD

Stochastic analysis and diffusion processes /

レコード種別:	言語・文字資料 (印刷物) : 単行資料
タイトル / 著者:	Stochastic analysis and diffusion processes // Gopinath Kallianpur and P. Sundar.
著者:	Kallianpur, G.,
その他の著者:	Sundar, P.
出版された:	Oxford, United Kingdom :Oxford University Press,2014.
記述:	xi, 352 p. ;24 cm.
主題:	Diffusion processes. -
国際標準図書番号 (ISBN):	9780199657070 (pbk.) :
国際標準図書番号 (ISBN):	9780199657063 (hbk.)
国際標準図書番号 (ISBN):	0199657068 (hbk.)
国際標準図書番号 (ISBN):	0199657076 (pbk.)

Stochastic analysis and diffusion processes /
Kallianpur, G.,

Stochastic analysis and diffusion processes /Gopinath Kallianpur and P. Sundar. - 1st ed. - Oxford, United Kingdom :Oxford University Press,2014. - xi, 352 p. ;24 cm. - Oxford graduate texts in mathematics ;24. - Oxford graduate texts in mathematics ;24..

Includes bibliographical references (p. [347]-350) and index.

Introduction to stochastic processes -- Brownian motion -- Elements of Martingale theory -- Analytic tools for Brownian motion -- Stochastic integration -- Stochastic differential equations -- The Martingale problem -- Probability theory and partial differential equations -- Gaussian solutions -- Jump Markov processes -- Invariant measures and ergodicity -- Large deviations for diffusions.

"Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of Stochastic Analysis, and probabilistic behavior of diffusion processes are told without compromising on the mathematical details. Starting with the construction of stochastic processes, the book introduces Brownian motion and martingales. The book proceeds to construct stochastic integrals, establish the Itô formula, and discuss its applications. Next, attention is focused on stochastic differential equations (SDEs) which arise in modeling physical phenomena, perturbed by random forces. Diffusion processes are solutions of SDEs and form the main theme of this book. The Stroock-Varadhan martingale problem, the connection between diffusion processes and partial differential equations, Gaussian solutions of SDEs, and Markov processes with jumps are presented in successive chapters. The book culminates with a careful treatment of important research topics such as invariant measures, ergodic behavior, and large deviation principle for diffusions. Examples are given throughout the book to illustrate concepts and results. In addition, exercises are given at the end of each chapter that will help the reader to understand the concepts better. The book is written for graduate students, young researchers and applied scientists who are interested in stochastic processes and their applications. The reader is assumed to be familiar with probability theory at graduate level. The book can be used as a text for a graduate course on Stochastic Analysis." --

ISBN: 9780199657070 (pbk.) :NT1418

LCCN: 2013943837

Nat. Bib. No.: GBB398937bnb

Nat. Bib. Agency Control No.: 016529709UkSubjects--Topical Terms:

1000011259
Diffusion processes.

LC Class. No.: QA274 / .K338 2014

Dewey Class. No.: 519.233

Stochastic analysis and diffusion processes /
LDR:03135cam a2200301 a 450 001 1000056530
005 20140826184019.0
008 130626s2014 enk b 001 0 eng d
010 $a 2013943837
015 $a GBB398937 $2 bnb
016 7 $a 016529709 $2 Uk
020 $a 9780199657070 (pbk.) : $c NT1418
020 $a 9780199657063 (hbk.)
020 $a 0199657068 (hbk.)
020 $a 0199657076 (pbk.)
035 $a (OCoLC)ocn869525197
035 $a 17791948
040 $a NLE $b eng $c NLE $d OCLCO $d UKMGB $d CUD $d YDXCP $d BTCTA $d BDX $d IAD $d LTSCA $d CDX $d CIT $d IXA $d DLC
042 $a lccopycat
050 0 0 $a QA274 $b .K338 2014
082 0 4 $a 519.233 $2 23
100 1 $a Kallianpur, G., $e author. $3 1000084100
245 1 0 $a Stochastic analysis and diffusion processes / $c Gopinath Kallianpur and P. Sundar.
250 $a 1st ed.
260 # $a Oxford, United Kingdom : $b Oxford University Press, $c 2014.
300 $a xi, 352 p. ; $c 24 cm.
490 1 $a Oxford graduate texts in mathematics ; $v 24
504 $a Includes bibliographical references (p. [347]-350) and index.
505 0 # $a Introduction to stochastic processes -- Brownian motion -- Elements of Martingale theory -- Analytic tools for Brownian motion -- Stochastic integration -- Stochastic differential equations -- The Martingale problem -- Probability theory and partial differential equations -- Gaussian solutions -- Jump Markov processes -- Invariant measures and ergodicity -- Large deviations for diffusions.
520 # $a "Stochastic Analysis and Diffusion Processes presents a simple, mathematical introduction to Stochastic Calculus and its applications. The book builds the basic theory and offers a careful account of important research directions in Stochastic Analysis. The breadth and power of Stochastic Analysis, and probabilistic behavior of diffusion processes are told without compromising on the mathematical details. Starting with the construction of stochastic processes, the book introduces Brownian motion and martingales. The book proceeds to construct stochastic integrals, establish the Itô formula, and discuss its applications. Next, attention is focused on stochastic differential equations (SDEs) which arise in modeling physical phenomena, perturbed by random forces. Diffusion processes are solutions of SDEs and form the main theme of this book. The Stroock-Varadhan martingale problem, the connection between diffusion processes and partial differential equations, Gaussian solutions of SDEs, and Markov processes with jumps are presented in successive chapters. The book culminates with a careful treatment of important research topics such as invariant measures, ergodic behavior, and large deviation principle for diffusions. Examples are given throughout the book to illustrate concepts and results. In addition, exercises are given at the end of each chapter that will help the reader to understand the concepts better. The book is written for graduate students, young researchers and applied scientists who are interested in stochastic processes and their applications. The reader is assumed to be familiar with probability theory at graduate level. The book can be used as a text for a graduate course on Stochastic Analysis." -- $c Provided by publisher.
650 # 0 $a Diffusion processes. $3 1000011259
650 # 0 $a Stochastic analysis. $3 147339
700 1 # $a Sundar, P. $q (Padmanabhan), $e author. $3 1000084101
830 0 $a Oxford graduate texts in mathematics ; $v 24. $3 1000084102