Handbook of stochastic analysis and applications

書誌事項

Handbook of stochastic analysis and applications

edited by D. Kannan, V. Lakshmikantham

(Statistics : textbooks and monographs, v. 163)

Marcel Dekker, c2002

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

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.

目次

  • 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.

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詳細情報

  • NII書誌ID(NCID)
    BA54162440
  • ISBN
    • 0824706609
  • 出版国コード
    us
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    New York
  • ページ数/冊数
    xvii, 763 p.
  • 大きさ
    26 cm
  • 親書誌ID
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