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Introduction

In: Stochastic Analysis 2010

Author

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  • Dan Crisan

    (Imperial College London, Department of Mathematics)

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

Suggested Citation

  • Dan Crisan, 2011. "Introduction," Springer Books, in: Dan Crisan (ed.), Stochastic Analysis 2010, pages 1-6, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-15358-7_1
    DOI: 10.1007/978-3-642-15358-7_1
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