Description

Book 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.

Table of Contents
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.

Handbook of Stochastic Analysis and Applications

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    A Hardback by D. Kannan, V. Lakshmikantham

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      View other formats and editions of Handbook of Stochastic Analysis and Applications by D. Kannan

      Publisher: Taylor & Francis Inc
      Publication Date: 23/10/2001
      ISBN13: 9780824706609, 978-0824706609
      ISBN10: 0824706609
      Also in:
      Mathematics Stochastics

      Description

      Book 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.

      Table of Contents
      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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