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Random Series and Stochastic Integrals: Single and Multiple
English
406 b
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This book studies the foundations of the theory of linear and nonlinear forms in single and multiple random variables including the single and multiple random series and stochastic integrals, both Gaussian and non-Gaussian. This subject is intimately connected with a number of classical problems of probability theory such as the summation of independent random variables, martingale theory, and Wiener's theory of polynomial chaos. The book contains a number of older results as well as more recent, or previously unpublished, results. The emphasis is on domination principles for comparison of different sequences of random variables and on decoupling techniques. These tools prove very useful in many areas ofprobability and analysis, and the book contains only their selected applications. On the other hand, the use of the Fourier transform - another classical, but limiting, tool in probability theory - has been practically eliminated. The book is addressed to researchers and graduate students in prob ability theory, stochastic processes and theoretical statistics, as well as in several areas oftheoretical physics and engineering. Although the ex position is conducted - as much as is possible - for random variables with values in general Banach spaces, we strive to avoid methods that would depend on the intricate geometric properties of normed spaces. As a result, it is possible to read the book in its entirety assuming that all the Banach spaces are simply finite dimensional Euclidean spaces.
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