Lectures on Topics in Stochastic Differential Equations
by Daniel W. Stroock
Publisher: Tata Institute of Fundamental Research 1982
Number of pages: 93
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
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by Jan A. Van Casteren - Bookboon
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, etc.
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In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.
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A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.
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