M. M. Rao
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Foundations of Stochastic Analysis (eBook, PDF)

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Foundations of Stochastic Analysis deals with the foundations of the theory of Kolmogorov and Bochner and its impact on the growth of stochastic analysis. Topics covered range from conditional expectations and probabilities to projective and direct limits, as well as martingales and likelihood ratios. Abstract martingales and their applications are also discussed.Comprised of five chapters, this volume begins with an overview of the basic Kolmogorov-Bochner theorem, followed by a discussion on conditional expectations and probabilities containing several characterizations of operators and meas...

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