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Stochastic Calculus in Manifolds by Michel Emery

Stochastic Calculus in Manifolds

by Michel Emery
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Book cover type: Paperback
  • ISBN13: 9783540516644
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 151
  • Original Price: EUR 119.99
  • Language: English
  • Edition: Softcover Repri
  • Item Weight: 298 grams
  • BISAC Subject(s): Geometry / Differential, General, and Probability & Statistics / General

Addressed to both pure and applied probabilitists, including graduate students, this text is a pedagogically-oriented introduction to the Schwartz-Meyer second-order geometry and its use in stochastic calculus. P.A. Meyer has contributed an appendix: "A short presentation of stochastic calculus" presenting the basis of stochastic calculus and thus making the book better accessible to non-probabilitists also. No prior knowledge of differential geometry is assumed of the reader: this is covered within the text to the extent. The general theory is presented only towards the end of the book, after the reader has been exposed to two particular instances - martingales and Brownian motions - in manifolds. The book also includes new material on non-confluence of martingales, s.d.e. from one manifold to another, approximation results for martingales, solutions to Stratonovich differential equations. Thus this book will prove very useful to specialists and non-specialists alike, as a self-contained introductory text or as a compact reference.

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