Handbook of Stochastic Analysis & Applications [1st ed.] 0738132462

An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consiste

374 63 599KB

English Pages 773 Year 2001

Table of contents :
Contents......Page 12
1 Markov Processes and Their Applications......Page 23
2 Semimartingale Theory and Stochastic Calculus......Page 69
3 White Noise Theory......Page 128
4 SDEs and Their Applications......Page 180
5 Numerical Analysis of SDEs Without Tears......Page 257
6 Large Deviations and Applications......Page 379
7 Stability and Stabilizing Control of Stochastic Systems......Page 434
8 Stochastic Differential Games and Applications......Page 489
9 Stochastic Manufacturing Systems: Hierarchial Control Approach......Page 548
10 Stochastic Approximation: Theory and Applications......Page 590
11 Optimization by Stochastic Methods......Page 637
12 Stochastic Control Methods in Asset Pricing......Page 690
Index......Page 764

Handbook of Stochastic Analysis & Applications [1st ed.]
0738132462

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V. Lakshmikantham

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