Stochastic Processes and Orthogonal Polynomials: STOCHASTIC PROCESSES & ORTHOGO

Paperback | April 27, 2000

byWim Schoutens, W. Schoutens

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The book offers an accessible reference for researchers in the probability, statistics and special functions communities. It gives a variety of interdisciplinary relations between the two main ingredients of stochastic processes and orthogonal polynomials. It covers topics like time dependent and asymptotic analysis for birth-death processes and diffusions, martingale relations for Lévy processes, stochastic integrals and Stein's approximation method. Almost all well-known orthogonal polynomials, which are brought together in the so-called Askey Scheme, come into play. This volume clearly illustrates the powerful mathematical role of orthogonal polynomials in the analysis of stochastic processes and is made accessible for all mathematicians with a basic background in probability theory and mathematical analysis. Wim Schoutens is a Postdoctoral Researcher of the Fund for Scientific Research-Flanders (Belgium). He received his PhD in Science from the Catholic University of Leuven, Belgium.

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The book offers an accessible reference for researchers in the probability, statistics and special functions communities. It gives a variety of interdisciplinary relations between the two main ingredients of stochastic processes and orthogonal polynomials. It covers topics like time dependent and asymptotic analysis for birth-death pro...

Format:PaperbackDimensions:197 pages, 9.25 × 6.1 × 0.27 inPublished:April 27, 2000Publisher:Springer New YorkLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:038795015X

ISBN - 13:9780387950150

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Table of Contents

The Askey-Scheme of Orthogonal Polynomials.- Stochastic Processes.- Birth and Death Processes and Orthogonal Polynomials.- Random Walks and Orthogonal Polynomials.- Sheffer Systems.- Orthogonal Polynomials in Stochastic Integration Theory.- Chaotic and Previsible Representations for Lévy Processes.- Stein Approximation and Orthogonal Polynomials.