【现货速发】随机分析及其应用 第3版
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天津津南
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作者（澳）F. C. 克莱巴纳
出版社世界图书出版公司
ISBN9787519244644
出版时间2018-08
装帧平装
开本16开
定价75元
货号25322553
上书时间2024-12-18
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目录
Preface
1.Preliminaries From Calculus
1.1 Fhnctions in Calculus
1.2 Variation of a Function
1.3 Riemann Integral and Stieltjes Integral
1.4 Lebesgue's Method of Integration
1.5 Differentials and Integrals
1.6 Taylor's Formula and Other Results
2.Concepts of Probability Theory
2.1 Discrete Probability Model
2.2 Continuous Probability Model
2.3 Expectation and Lebesgue Integral
2.4 Transforms and Convergence
2.5 Independence and Covariance
2.6 Normal (Gaussian) Distributions
2.7 Conditional Expectation
2.8 Stochastic Processes in Continuous Time
3.Basic Stochastic Processes
3.1 Brownian Motion
3.2 Properties of Brownian Motion Paths
3.3 Three Martingales of Brownian Motion
3.4 Markov Property of Brownian Motion
3.5 Hitting Times and Exit Times
3.6 Maximum and Minimum of Brownian Motion
3.7 Distribution of Hitting Times
3.8 Reflection Principle and Joint Distributions
3.9 Zeros of Brownian Motion -- Arcsine Law
3.10 Size of Increments of Brownian Motion
3.11 Brownian Motion in Higher Dimensions
3.12 Random Walk
3.13 Stochastic Integral in Discrete Time
3.14 Poisson Process
3.15 Exercises
4.Brownian Motion Calculus
4.1 Definition of It5 Integral
4.2 It5 Integral Process
4.3 It5 Integral and Gaussian Processes
4.4 ItS's Formula for Brownian Motion
4.5 It5 Processes and Stochastic Differentials
4.6 ItS's Formula for It5 Processes
4.7 It5 Processes in Higher Dimensions
4.8 Exercises
5.Stochastic Differential Equations
5.1 Definition of Stochastic Differential
Equations (SDEs)
5.2 Stochastic Exponential and Logarithm
5.3 Solutions to Linear SDEs
5.4 Existence and Uniqueness of Strong Solutions
5.5 Markov Property of Solutions
5.6 Weak Solutions to SDEs
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