Stochastic Processes: Selected Papers On Hiroshi Tanaka

Stochastic Processes: Selected Papers On Hiroshi Tanaka
Author: Makoto Maejima
Publisher: World Scientific
Total Pages: 444
Release: 2002-03-28
Genre: Mathematics
ISBN: 9814491276

Hiroshi Tanaka is noted for his discovery of the “Tanaka formula”, which is a generalization of the Itô formula in stochastic analysis. This important book is a selection of his brilliant works on stochastic processes and related topics. It contains Tanaka's papers on (i) Brownian motion and stochastic differential equations (additive functionals of Brownian paths and stochastic differential equations with reflecting boundaries), (ii) the probabilistic treatment of nonlinear equations (Boltzmann equation, propagation of chaos and McKean-Vlasov limit), and (iii) stochastic processes in random environments (especially limit theorems on the stochastic processes in one-dimensional random environments and their refinements). The book also includes essays by Henry McKean, Marc Yor, Shinzo Watanabe and Hiroshi Tanaka on Tanaka's works.

Brownian Motion

Brownian Motion
Author: René L. Schilling
Publisher: Walter de Gruyter GmbH & Co KG
Total Pages: 533
Release: 2021-09-07
Genre: Mathematics
ISBN: 311074127X

Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special role, since it shaped the whole subject, displays most random phenomena while being still easy to treat, and is used in many real-life models. Im this new edition, much material is added, and there are new chapters on ''Wiener Chaos and Iterated Itô Integrals'' and ''Brownian Local Times''.

Stochastic Processes

Stochastic Processes
Author: Hiroshi Tanaka
Publisher: World Scientific
Total Pages: 443
Release: 2002
Genre: Mathematics
ISBN: 9810245912

A selection of Hiroshi Tanaka's brilliant works on stochastic processes and related topics.