Foundations of Stochastic Analysis - Brossura

Rao, M. M.

Brossura

ISBN 10: 0486481220 ISBN 13: 9780486481227

Casa editrice: Dover Pubns, 2011

Riassunto

Stochastic analysis involves the study of a process involving a randomly determined sequence of observations, each of which represents a sample of one element of probability distribution. This volume considers fundamental theories and contrasts the natural interplay between real and abstract methods.
Starting with the introduction of the basic Kolmogorov-Bochner existence theorem, the text explores conditional expectations and probabilities as well as projective and direct limits. Subsequent chapters examine several aspects of discrete martingale theory, including applications to ergodic theory, likelihood ratios, and the Gaussian dichotomy theorem. Prerequisites include a standard measure theory course. No prior knowledge of probability is assumed; therefore, most of the results are proved in detail. Each chapter concludes with a problem section that features many hints and facts, including the most important results in information theory.

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Contenuti

Preface I. Introduction and Generalities II.Conditional Expectations and Generalities III. Projective and Direct Limits IV. Martingales and Likelihood Ratios V. Abstract Martingales and Applications Bibliography Index

Product Description

Book by M M Rao

Dettagli dell?edizione

• Editore: Dover Pubns
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 0486481220
• ISBN 13: 9780486481227
• Rilegatura: Copertina flessibile
• Numero di pagine: 295
• Contatto del produttore: non disponibile
• Persona responsabile: Soc. Agr. La Raia Ss; http://www.la-raia.it; ; Strada Monterotondo, 79; Novi Ligure; 15067; Italia