Description

Book Synopsis
Offers an account of Kiyosi Ito's program. This book offers an account of integral curves on the space of probability measures. It provides a systematic development of Ito's theory of stochastic integration: first for Brownian motion and then for continuous martingales.

Table of Contents
*Frontmatter, pg. i*Contents, pg. vii*Preface, pg. xi*Chapter 1. Finite State Space, a Trial Run, pg. 1*Chapter 2. Moving to Euclidean Space, the Real Thing, pg. 35*Chapter 3. Ito's Approach in the Euclidean Setting, pg. 73*Chapter 4. Further Considerations, pg. 111*Chapter 5. Ito's Theory of Stochastic Integration, pg. 125*Chapter 6. Applications of Stochastic Integration to Brownian Motion, pg. 151*Chapter 7. The Kunita-Watanabe Extension, pg. 189*Chapter 8. Stratonovich's Theory, pg. 221*Notation, pg. 260*References, pg. 263*Index, pg. 265

Markov Processes from K. Itôs Perspective

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    A Paperback by Daniel W. Stroock

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      View other formats and editions of Markov Processes from K. Itôs Perspective by Daniel W. Stroock

      Publisher: Princeton University Press
      Publication Date: 6/13/2003 12:00:00 AM
      ISBN13: 9780691115436, 978-0691115436
      ISBN10: 0691115435
      Also in:
      Mathematics

      Description

      Book Synopsis
      Offers an account of Kiyosi Ito's program. This book offers an account of integral curves on the space of probability measures. It provides a systematic development of Ito's theory of stochastic integration: first for Brownian motion and then for continuous martingales.

      Table of Contents
      *Frontmatter, pg. i*Contents, pg. vii*Preface, pg. xi*Chapter 1. Finite State Space, a Trial Run, pg. 1*Chapter 2. Moving to Euclidean Space, the Real Thing, pg. 35*Chapter 3. Ito's Approach in the Euclidean Setting, pg. 73*Chapter 4. Further Considerations, pg. 111*Chapter 5. Ito's Theory of Stochastic Integration, pg. 125*Chapter 6. Applications of Stochastic Integration to Brownian Motion, pg. 151*Chapter 7. The Kunita-Watanabe Extension, pg. 189*Chapter 8. Stratonovich's Theory, pg. 221*Notation, pg. 260*References, pg. 263*Index, pg. 265

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