Overview

Full Product Details

Author:   Richard F. Bass (University of Connecticut)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press (Virtual Publishing)
Volume:   33
ISBN:  

9780511997044

ISBN 10:   0511997043
Publication Date:   05 June 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Undefined
Publisher's Status:   Active
Availability:   Available To Order  
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Preface; 1. Basic notions; 2. Brownian motion; 3. Martingales; 4. Markov properties of Brownian motion; 5. The Poisson process; 6. Construction of Brownian motion; 7. Path properties of Brownian motion; 8. The continuity of paths; 9. Continuous semimartingales; 10. Stochastic integrals; 11. Itô's formula; 12. Some applications of Itô's formula; 13. The Girsanov theorem; 14. Local times; 15. Skorokhod embedding; 16. The general theory of processes; 17. Processes with jumps; 18. Poisson point processes; 19. Framework for Markov processes; 20. Markov properties; 21. Applications of the Markov properties; 22. Transformations of Markov processes; 23. Optimal stopping; 24. Stochastic differential equations; 25. Weak solutions of SDEs; 26. The Ray–Knight theorems; 27. Brownian excursions; 28. Financial mathematics; 29. Filtering; 30. Convergence of probability measures; 31. Skorokhod representation; 32. The space C[0, 1]; 33. Gaussian processes; 34. The space D[0, 1]; 35. Applications of weak convergence; 36. Semigroups; 37. Infinitesimal generators; 38. Dirichlet forms; 39. Markov processes and SDEs; 40. Solving partial differential equations; 41. One-dimensional diffusions; 42. Lévy processes; A. Basic probability; B. Some results from analysis; C. Regular conditional probabilities; D. Kolmogorov extension theorem; E. Choquet capacities; Frequently used notation; Index.

Reviews

'The author of this book is well recognized for his long standing and successful work in the area of stochastic processes ... this book represents quite well the modern state of the art of the theory of stochastic processes. There are good reasons to strongly recommend the book to graduate and postgraduate students taking an advanced course in stochastic processes.' Jordan M. Stoyanov, Zentralblatt MATH

Author Information

Richard F. Bass is Board of Trustees Distinguished Professor in the Department of Mathematics at the University of Connecticut.

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions