Stochastic Processes

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Stochastic Processes

Stochastic Processes

Name: Stochastic Processes
ISBN: 9780821840856

S. R. S. Varadhan

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This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. After a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps, the author proceeds to introduce Brownian motion and to develop stochastic integrals and ItÃ´'s theory in the context of one-dimensional diffusion processes. The book ends with a brief survey of the general theory of Markov processes. The book is based on courses given by the author at the Courant Institute and can be used as a sequel to the author's successful book Probability Theory in this series. Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.

類別:

Mathematics

年:

2007

出版商:

American Mathematical Society

語言:

english

頁數:

126

ISBN 10:

0821840851