Introduction to the Theory of Random Processes

Lingua: inglese

Editore: American Mathematical Society, US, 2002

0821829858 / 9780821829851

Serie: Libro 37 di 190 - Graduate Studies in Mathematics

Da: Rarewaves.com UK, London, Regno UnitoRarewaves.com UK

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This book concentrates on some general facts and ideas of the theory of stochastic processes. The topics include the Wiener process, stationary processes, infinitely divisible processes, and Ito stochastic equations. Basics of discrete time martingales are also presented and then used in one way or another throughout the book. Another common feature of the main body of the book is using stochastic integration with respect to random orthogonal measures. In particular, it is used for spectral representation of trajectories of stationary processes and for proving that Gaussian stationary processes with rational spectral densities are components of solutions to stochastic equations.In the case of infinitely divisible processes, stochastic integration allows for obtaining a representation of trajectories through jump measures. The Ito stochastic integral is also introduced as a particular case of stochastic integrals with respect to random orthogonal measures. Although it is not possible to cover even a noticeable portion of the topics listed above in a short book, it is hoped that after having followed the material presented here, the reader will have acquired a good understanding of what kind of results are available and what kind of techniques are used to obtain them. With more than 100 problems included, the book can serve as a text for an introductory course on stochastic processes or for independent study. Other works by this author published by the AMS include, ""Lectures on Elliptic and Parabolic Equations in Holder Spaces"" and ""Introduction to the Theory of Diffusion Processes"".…

Codice articolo LU-9780821829851

Titolo
Introduction to the Theory of Random Processes
Autore
N.V. Krylov
Editore
American Mathematical Society, US
Anno di pubblicazione
2002
Condizione
New
Rilegatura
Hardback
Lingua
inglese
ISBN 10
0821829858
ISBN 13
9780821829851
Peso dell'articolo
652 grammi
Serie
Libro 37 di 190: Graduate Studies in Mathematics

Rarewaves.com UK

London, Regno Unito

Venditore con 5 stelle

Venditore AbeBooks dal 11 giugno 2025

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ArticoloDa 60 a 60 giorni lavorativiDa 60 a 60 giorni lavorativi
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