Author: Kiyosi Itô
Publisher: Springer Science & Business Media
ISBN: 3642620256
Category : Mathematics
Languages : en
Pages : 341
Get Book Here
Book Description
Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.
Author: Kiyosi Itō
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 352
Get Book Here
Book Description
Author: Kiyosi Ito
Publisher:
ISBN: 9783642620263
Category :
Languages : en
Pages : 344
Get Book Here
Book Description
Author: Kiyosi Itō
Publisher:
ISBN:
Category : Brownian movements
Languages : en
Pages : 321
Get Book Here
Book Description
Author: Kiyoshi Itō
Publisher:
ISBN:
Category : Brownian movements
Languages : en
Pages :
Get Book Here
Book Description
Author: K. Itô
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Luigi M. Ricciardi
Publisher: Springer Science & Business Media
ISBN: 364293059X
Category : Mathematics
Languages : en
Pages : 207
Get Book Here
Book Description
These notes are based on a one-quarter course given at the Department of Biophysics and Theoretical Biology of the University of Chicago in 1916. The course was directed to graduate students in the Division of Biological Sciences with interests in population biology and neurobiology. Only a slight acquaintance with probability and differential equations is required of the reader. Exercises are interwoven with the text to encourage the reader to play a more active role and thus facilitate his digestion of the material. One aim of these notes is to provide a heuristic approach, using as little mathematics as possible, to certain aspects of the theory of stochastic processes that are being increasingly employed in some of the population biol ogy and neurobiology literature. While the subject may be classical, the nov elty here lies in the approach and point of view, particularly in the applica tions such as the approach to the neuronal firing problem and its related dif fusion approximations. It is a pleasure to thank Professors Richard C. Lewontin and Arnold J.F. Siegert for their interest and support, and Mrs. Angell Pasley for her excellent and careful typing. I . PRELIMINARIES 1. Terminology and Examples Consider an experiment specified by: a) the experiment's outcomes, ~, forming the space S; b) certain subsets of S (called events) and by the probabilities of these events.
Author: Daniel W. Stroock
Publisher: Springer
ISBN: 3540289992
Category : Mathematics
Languages : en
Pages : 338
Get Book Here
Book Description
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik
Author: Wojbor A. Woyczyński
Publisher: CRC Press
ISBN: 1000475352
Category : Mathematics
Languages : en
Pages : 138
Get Book Here
Book Description
Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.
Author: Christiane Fuchs
Publisher: Springer Science & Business Media
ISBN: 3642259693
Category : Mathematics
Languages : en
Pages : 439
Get Book Here
Book Description
Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.
