Introduction

Dan Crisan ()
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Dan Crisan: Imperial College London, Department of Mathematics

A chapter in Stochastic Analysis 2010, 2011, pp 1-6 from Springer

Abstract: Abstract Stochastic Analysis has emerged as one of the main branches of the latter half of twentieth century mathematics. Situated at the confluence between Analysis and Probability Theory, Stochastic Analysis impresses through its wide range of topics and applications. It aims to provide mathematical tools to describe and model random dynamical systems. Such tools arise in the study of stochastic differential equations and stochastic partial differential equations, infinite dimensional stochastic geometry, random media and interacting particle systems, super-processes, stochastic filtering, mathematical finance, etc. Its roots can be traced back to the work of Kiyosi Itô who has laid the foundations of the theory of stochastic differential equations and of stochastic integration in the 1940s

Keywords: Stochastic Differential Equation; Stochastic Analysis; Stochastic Partial Differential Equation; Interact Particle System; Martingale Problem (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15358-7_1

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DOI: 10.1007/978-3-642-15358-7_1

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