The main themes of this book are stochastic integrals, stochastic differential equations, excursion theory and 'the general theory of processes'. Much effort has gone into the attempt to make these subjects accessible by providing many concrete examples illustrating techniques of calculation, and by treating all topics (including stochastic differential geometry) from the ground up, starting from the simplest case. In particular, the theory is developed first for the 'continuous' case, by far the most important in practice, while the general theory (and its applications) forms the last chapter. Many of the examples and many of the proofs are new and some important methods of calculation appear for the first time in a book. Stochastic differential equations are widely used in practice: in electrical engineering; in controlling systems subject to random 'noise'; in modelling economic systems; and in several branches of physics and chemistry. They are also used to great effect in other branches of mathematics, such as the theory of partial differential equations, differential geometry and complex analysis.
Researchers and practitioners in all these fields will find it a useful and highly readable reference work.
- ISBN10 0471997056
- ISBN13 9780471997054
- Publish Date 28 February 1979
- Publish Status Out of Print
- Out of Print 14 March 1991
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley & Sons Ltd
- Format Hardcover
- Pages 252
- Language English