Henry P. McKean's Books

Diffusion Processes and their Sample Paths

By: Kiyosi Itô,Henry P. Jr. McKean

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Diffusion Processes and their Sample Paths

By: Kiyosi Itô,Henry P. Jr. McKean

Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.

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Page Count

341

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642620256

ISBN 13

9783642620256

Stochastic Integrals

By: Henry P. McKean

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Stochastic Integrals

By: Henry P. McKean

This little book is a brilliant introduction to an important boundary field between the theory of probability and differential equations. —E. B. Dynkin, Mathematical Reviews This well-written book has been used for many years to learn about stochastic integrals. The book starts with the presentation of Brownian motion, then deals with stochastic integrals and differentials, including the famous Itô lemma. The rest of the book is devoted to various topics of stochastic integral equations, including those on smooth manifolds. Originally published in 1969, this classic book is ideal for supplementary reading or independent study. It is suitable for graduate students and researchers interested in probability, stochastic processes, and their applications.

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Page Count

159

Publisher

American Mathematical Society

Published Date

ISBN 10

1470477874

ISBN 13

9781470477875

Gaussian Processes, Function Theory, and the Inverse Spectral Problem

By: Harry Dym,Henry P. McKean

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Gaussian Processes, Function Theory, and the Inverse Spectral Problem

By: Harry Dym,Henry P. McKean

This text offers background in function theory, Hardy functions, and probability as preparation for surveys of Gaussian processes, strings and spectral functions, and strings and spaces of integral functions. It addresses the relationship between the past and the future of a real, one-dimensional, stationary Gaussian process. 1976 edition.

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Page Count

354

Publisher

Courier Corporation

Published Date

ISBN 10

048646279X

ISBN 13

9780486462790

Book's by Henry P. McKean

Diffusion Processes and their Sample Paths

Diffusion Processes and their Sample Paths

Stochastic Integrals

Stochastic Integrals

Gaussian Processes, Function Theory, and the Inverse Spectral Problem

Gaussian Processes, Function Theory, and the Inverse Spectral Problem

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