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Handbook of Stochastic Analysis & Applications

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An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Author(s): V. Lakshmikantham
Series: Statistics: A Series of Textbooks and Monographs
Edition: 1st
Publisher: CRC Press, Marcel Dekker
Year: 2001

Language: English
Pages: 773

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