Random Analysis Fundamentals and Applications

Author: Jin Zhiming
Publisher:
Publish Date: 2003-04-01
Features: This textbook is designed for master's and doctoral students in probability theory, and it has been used in teaching for multiple sessions. The book introduces modern martingale theory and stochastic integration as its core content, then discusses the structure of Wiener process functions and diffusion process functions, and finally presents application-oriented Kalman-Bucy filtering and nonlinear filtering, interpolation and extrapolation. As examples, it also explores certain applications of stochastic analysis in mathematical finance.