The Theory of Stochastic Processes III

Translation by S. Kotz
2007
ISBN: 978-3-540-49940-4
Verlag: Springer

Buch, Englisch, 387 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 1250 g

Reihe: Classics in Mathematics

This work presents the theory of stochastic processes in its present state of rich imperfection. To describe this work as encyclopedic does not give an accurate picture of its content and style. Some parts read like a textbook, but others are more technical and contain relatively new results. The exposition is robust and explicit, as one has come to expect of the Russian tradition of mathematical writing.

The authors' display mastery of their material, and demonstrate their confident insight into its underlying structure. The set when completed will be an invaluable source of information and reference in this ever-expanding field.

Zielgruppe

Research

Autoren/Hrsg.

Gikhman, Iosif I.

Skorokhod, Anatoli V.

Weitere Mitwirkende

Kotz, S.

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

Martingales and Stochastic Integrals.- Stochastic Differential Equations.- Stochastic Differential Equations for Continuous Processes and Continuous Markov Processes ?m.

Über Autor(innen)

Biography of I.I. Gikhman

Iosif Ilyich Gikhman was born on the 26 of May 1918 in the city of Uman, Ukraine. He studied in Kiev, graduating in 1939, then remained there to teach and do research under the supervision of N. Bogolyubov, defending a "candidate" thesis on the influence of random processes on dynamical systems in 1942 and a doctoral dissertation on Markov processes and mathematical statistics in 1955.

I.I. Gikhman is one of the founders of the theory of stochastic differential equations and also contributed significantly to mathematical statistics, limit theorems, multidimensional martingales, and stochastic control. He died in 1985, in Donetsk.

Biography of A.V. Skorokhod

Anatoli Vladimirovich Skorokhod was born on September 10, 1930 in the city Nikopol, Ukraine. He graduated from Kiev University in 1953, after which his graduate studies at Moscow University, were directed by E.B. Dynkin.

From 1956 to 1964 Anatoli Skorokhod was a professor of Kiev university. Threafter he worked at the Institute of Mathematics of the Ukrainian Academy of Science, but he has also, since 1993, been professor of Statistics and Probability at Michigan State University.

Skorokhod was elected to the Ukrainian Academy of Sciences in 1985 and became a Fellow of American Academy of Arts and Sciences in 2000.

His mathematical research interests are the theory of stochastic processes, stochastic differential equations, Markov processes, randomly perturbed dynamical systems.