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.
Edited by:
D. Kannan, V. Lakshmikantham Imprint: CRC Press Country of Publication: United Kingdom Dimensions:
Height: 254mm,
Width: 178mm,
Weight: 1.461kg ISBN: 9780367578732 ISBN 10: 0367578735 Pages: 808 Publication Date: 30 June 2020 Audience:
College/higher education
,
Primary
Format: Paperback Publisher's Status: Active
Markov processes and their applications; semimartingale theory and stochastic calculus; white noise theory; stochastic differential equations and its applications; large deviations and applications; a brief introduction to numerical analysis of (ordinary) stochastic differential equations without tears; stochastic differential games and applications; stability and stabilizing control of stochastic systems; stochastic approximation - theory and applications; stochastic manufacturing systems; optimization by stochastic methods; stochastic control methods in asset pricing.