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Foundations of Stochastic Analysis
Foundations of Stochastic Analysis
📖 Book - PDF

Foundations of Stochastic Analysis

M. M. Rao
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pages
320 pages
language
English
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📖 Book - PDF

Foundations of Stochastic Analysis

M. M. Rao
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Table of contents

About This Book

Stochastic analysis involves the study of a process involving a randomly determined sequence of observations, each of which represents a sample of one element of probability distribution. This volume considers fundamental theories and contrasts the natural interplay between real and abstract methods.
Starting with the introduction of the basic Kolmogorov-Bochner existence theorem, the text explores conditional expectations and probabilities as well as projective and direct limits. Subsequent chapters examine several aspects of discrete martingale theory, including applications to ergodic theory, likelihood ratios, and the Gaussian dichotomy theorem. Prerequisites include a standard measure theory course. No prior knowledge of probability is assumed; therefore, most of the results are proved in detail. Each chapter concludes with a problem section that features many hints and facts, including the most important results in information theory.

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Information

Publisher
Dover Publications
Year
2013
ISBN
9780486296531
Topic
Mathematics
Subtopic
Probability & Statistics

Table of contents