Lectures on Stochastic Flows and Applications
by H. Kunita
Publisher: Tata Institute Of Fundamental Research 1986
Number of pages: 130
The author presents basic properties of stochastic flows, specially of Brownian flows. Their relations with local characteristics and with stochastic differential equations are central problems. In the second part, as an application of the first part, various limit theorems for stochastic flows are presented.
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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.
by S.P. Meyn, R.L. Tweedie - Springer
The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.
by John C. Nash - Marcel Dekker Inc
This book and software collection is intended to help scientists, engineers and statisticians in their work. We have collected various software tools for nonlinear parameter estimation, along with representative example problems.
by Daniel W. Stroock - Tata Institute of Fundamental Research
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.