连续鞅和布朗运动
出版时间:
2008-03
版次:
1
ISBN:
9787506291934
定价:
69.00
装帧:
平装
开本:
24开
纸张:
胶版纸
页数:
606页
正文语种:
英语
-
《连续鞅和布朗运动》是一部很经典的讲述随机过程及布朗运动的教材(全英文版)。其旨在尽可能详细的向概率专家介绍尽可能多的有关布朗运动的观点、技巧和方法。自从1991年这《连续鞅和布朗运动》的第一版本问世以来,有关布朗运动和相关的随机过程一直是人们研究和讨论的热点。布朗运动是许多典型的概率问题连续鞅、高斯过程、马尔科夫过程甚至更特殊的具有独立增量的过程的交叉点。大量新的方法都能够成功的应用于它的研究,新的版本也就应运而生。《连续鞅和布朗运动》在第一章引入布朗运动后,以后的各章都是具体在讲述某一种特定的方法或者观点。在这些方法中贯穿于《连续鞅和布朗运动》始终的是随机积分以及强有力的游程理论。 Chapter0.Preliminaries
§1.BasicNotation
§2.MonotoneClassTheorem
§3.Completion
§4.FunctionsofFiniteVariationandStieltjesIntegrals
§5.WeakConvergenceinMetricSpaces
§6.GaussianandOtherRandomVariables
ChapterⅠ.Introduction
§1.ExamplesofStochasticProcesses.BrownianMotion
§2.LocalPropertiesofBrownianPaths
§3.CanonicalProcessesandGaussianProcesses
§4.FiltrationsandStoppingTimes
NotesandComments
ChapterⅡ.Martingales
§1.Definitions,MaximalInequalitiesandApplications
§2.ConvergenceandRegularizationTheorems
§3.OptionalStoppingTheorem
NotesandComments
ChapterⅢ.MarkovProcesses
§1.BasicDefinitions
§2.FellerProcesses
§3.StrongMarkovProperty
§4.SummaryofResultsonLevyProcesses
NotesandComments
ChapterⅣ.StochasticIntegration
§1.QuadraticVariations
§2.StochasticIntegrals
§3.ItosFormulaandFirstApplications
§4.Burkholder-Davis-GundyInequalities
§5.PredictableProcesses
NotesandComments
ChapterⅤ.RepresentationofMartingales
§1.ContinuousMartingalesasTime-changedBrownianMotions
§2.ConformalMartingalesandPlanarBrownianMotion
§3.BrownianMartingales
§4.IntegralRepresentations
NotesandComments
ChapterⅥ.LocalTimes
§1.DefinitionandFirstProperties
§2.TheLocalTimeofBrownianMotion
§3.TheThree-DimensionalBesselProcess
§4.FirstOrderCalculus
§5.TheSkorokhodStoppingProblem
NotesandComments
ChapterⅦ.GeneratorsandTimeReversal
§1.InfinitesimalGenerators.
§2.DiffusionsandItoProcesses
§3.LinearContinuousMarkovProcesses
§4.TimeReversalandApplications
NotesandComments
ChapterⅧ.GirsanovsTheoremandFirstApplications
§1.GirsanovsTheorem
§2.ApplicationofGirsanovsTheoremtotheStudyofWienersSpace
§3.FunctionalsandTransformationsofDiffusionProcesses
NotesandComments
ChapterⅨ.StochasticDifferentialEquations
§1.FormalDefinitionsandUniqueness
§2.ExistenceandUniquenessintheCaseofLipschitzCoefficients
§3.TheCaseofHolderCoefficientsinDimensionOne
NotesandComments
ChapterⅩ.AdditiveFunctionalsofBrownianMotion
§1.GeneralDefinitions
§2.RepresentationTheoremforAdditiveFunctionalsofLinearBrownianMotion
§3.ErgodicTheoremsforAdditiveFunctionals
§4.AsymptoticResultsforthePlanarBrownianMotion
NotesandComments
ChapterⅪ.BesselProcessesandRay-KnightTheorems
§1.BesselProcesses
§2.Ray-KnightTheorems
§3.BesselBridges
NotesandComments
ChapterⅫ.Excursions
§1.PrerequisitesonPoissonPointProcesses
§2.TheExcursionProcessofBrownianMotion
§3.ExcursionsStraddlingaGivenTime
§4.DescriptionsofItosMeasureandApplications
NotesandComments
ChapterXIII.LimitTheoremsinDistribution
§1.ConvergenceinDistribution
§2.AsymptoticBehaviorofAdditiveFunctionalsofBrownianMotion
§3.AsymptoticPropertiesofPlanarBrownianMotion
NotesandComments
Appendix
§1.GronwallsLemma
§2.Distributions
§3.ConvexFunctions
§4.HausdorffMeasuresandDimension
§5.ErgodicTheory
§6.ProbabilitiesonFunctionSpaces
§7.BesselFunctions
§8.Sturm-LiouvilleEquation
Bibliography
IndexofNotation
IndexofTerms
Catalogue
-
内容简介:
《连续鞅和布朗运动》是一部很经典的讲述随机过程及布朗运动的教材(全英文版)。其旨在尽可能详细的向概率专家介绍尽可能多的有关布朗运动的观点、技巧和方法。自从1991年这《连续鞅和布朗运动》的第一版本问世以来,有关布朗运动和相关的随机过程一直是人们研究和讨论的热点。布朗运动是许多典型的概率问题连续鞅、高斯过程、马尔科夫过程甚至更特殊的具有独立增量的过程的交叉点。大量新的方法都能够成功的应用于它的研究,新的版本也就应运而生。《连续鞅和布朗运动》在第一章引入布朗运动后,以后的各章都是具体在讲述某一种特定的方法或者观点。在这些方法中贯穿于《连续鞅和布朗运动》始终的是随机积分以及强有力的游程理论。
-
目录:
Chapter0.Preliminaries
§1.BasicNotation
§2.MonotoneClassTheorem
§3.Completion
§4.FunctionsofFiniteVariationandStieltjesIntegrals
§5.WeakConvergenceinMetricSpaces
§6.GaussianandOtherRandomVariables
ChapterⅠ.Introduction
§1.ExamplesofStochasticProcesses.BrownianMotion
§2.LocalPropertiesofBrownianPaths
§3.CanonicalProcessesandGaussianProcesses
§4.FiltrationsandStoppingTimes
NotesandComments
ChapterⅡ.Martingales
§1.Definitions,MaximalInequalitiesandApplications
§2.ConvergenceandRegularizationTheorems
§3.OptionalStoppingTheorem
NotesandComments
ChapterⅢ.MarkovProcesses
§1.BasicDefinitions
§2.FellerProcesses
§3.StrongMarkovProperty
§4.SummaryofResultsonLevyProcesses
NotesandComments
ChapterⅣ.StochasticIntegration
§1.QuadraticVariations
§2.StochasticIntegrals
§3.ItosFormulaandFirstApplications
§4.Burkholder-Davis-GundyInequalities
§5.PredictableProcesses
NotesandComments
ChapterⅤ.RepresentationofMartingales
§1.ContinuousMartingalesasTime-changedBrownianMotions
§2.ConformalMartingalesandPlanarBrownianMotion
§3.BrownianMartingales
§4.IntegralRepresentations
NotesandComments
ChapterⅥ.LocalTimes
§1.DefinitionandFirstProperties
§2.TheLocalTimeofBrownianMotion
§3.TheThree-DimensionalBesselProcess
§4.FirstOrderCalculus
§5.TheSkorokhodStoppingProblem
NotesandComments
ChapterⅦ.GeneratorsandTimeReversal
§1.InfinitesimalGenerators.
§2.DiffusionsandItoProcesses
§3.LinearContinuousMarkovProcesses
§4.TimeReversalandApplications
NotesandComments
ChapterⅧ.GirsanovsTheoremandFirstApplications
§1.GirsanovsTheorem
§2.ApplicationofGirsanovsTheoremtotheStudyofWienersSpace
§3.FunctionalsandTransformationsofDiffusionProcesses
NotesandComments
ChapterⅨ.StochasticDifferentialEquations
§1.FormalDefinitionsandUniqueness
§2.ExistenceandUniquenessintheCaseofLipschitzCoefficients
§3.TheCaseofHolderCoefficientsinDimensionOne
NotesandComments
ChapterⅩ.AdditiveFunctionalsofBrownianMotion
§1.GeneralDefinitions
§2.RepresentationTheoremforAdditiveFunctionalsofLinearBrownianMotion
§3.ErgodicTheoremsforAdditiveFunctionals
§4.AsymptoticResultsforthePlanarBrownianMotion
NotesandComments
ChapterⅪ.BesselProcessesandRay-KnightTheorems
§1.BesselProcesses
§2.Ray-KnightTheorems
§3.BesselBridges
NotesandComments
ChapterⅫ.Excursions
§1.PrerequisitesonPoissonPointProcesses
§2.TheExcursionProcessofBrownianMotion
§3.ExcursionsStraddlingaGivenTime
§4.DescriptionsofItosMeasureandApplications
NotesandComments
ChapterXIII.LimitTheoremsinDistribution
§1.ConvergenceinDistribution
§2.AsymptoticBehaviorofAdditiveFunctionalsofBrownianMotion
§3.AsymptoticPropertiesofPlanarBrownianMotion
NotesandComments
Appendix
§1.GronwallsLemma
§2.Distributions
§3.ConvexFunctions
§4.HausdorffMeasuresandDimension
§5.ErgodicTheory
§6.ProbabilitiesonFunctionSpaces
§7.BesselFunctions
§8.Sturm-LiouvilleEquation
Bibliography
IndexofNotation
IndexofTerms
Catalogue
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