Hardcover: 808 pages

Publisher: CRC; 1st edition (October 15, 2001)

Language: English

ISBN: 0824706609

Product Dimensions: 10.3 x 7.4 x 1.6 inches

Book News Annotation:
Twelve contributions from mathematicians in the U.S., Russia, China, and Israel present an overview of the analysis of some basic stochastic processes and stochastic equations as well as certain of their applications. Chapters in the first half of the text are devoted largely to theory, while the remainder focus on applications. A sampling of topics includes Markov processes, semimartingales, Hida's white noise theory, large deviations, control theory, stochastic game theory, and the application of optimization problems to financial mathematics.
Annotation c. Book News, Inc., Portland, OR (booknews.com)
Synopsis:
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