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Stochastic analysis and applications. (English) Zbl 1012.60004

The author gives a successful description of the three basic lines of stochastic analysis: infinite-dimensional analysis, large discrete random structures and scaling limits. In concise form there are given intuitions, the main ideas, different connections and applications. The broad panorama is sketched, although scantiness of place does not let to mention all important aspects of investigation such as e.g. invariant measures. The article is worth to recommend to all who want to know what modern stochastic analysis is.

MSC:

60Hxx Stochastic analysis
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
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