Stochastic processes: selected papers of Hiroshi Tanaka

Hiroshi Tanaka is noted for his discovery of the "Tanaka formula", which is a generalization of the Ito 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 mot...

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1. Verfasser: Tanaka, Hiroshi (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Singapore World Scientific Pub. Co. c2002
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Zusammenfassung:Hiroshi Tanaka is noted for his discovery of the "Tanaka formula", which is a generalization of the Ito 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
Beschreibung:xi, 430 p. ill., port
ISBN:9789812778550

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