Foundations of Stochastic Analysis

by M.M. Rao

Starting with the introduction of the basic Kolmogorov-Bochner existence theorem, this text explores conditional expectations and probabilities as well as projective and direct limits. Topics include several aspects of discrete martingale theory, including applications to ergodic theory, likelihood ratios, and the Gaussian dichotomy theorem. Numerous problems, most with hints. 1981 edition.

320 pages, Paperback

First published August 18, 2011

About the author

Full name: Malempati M. Rao