Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial
The purpose of this book is to provide a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis
In many areas of human endeavor, the systems involved are not available for direct measurement. Instead, by combining mathematical models for a system's evolution with partial observations of its evol
Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current state of the area and its ongoing developmen
The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred