Logo

Advanced Stochastic Processes

Small book cover: Advanced Stochastic Processes

Advanced Stochastic Processes
by

Publisher: Bookboon
ISBN-13: 9788740303988
Number of pages: 404

Description:
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, the martingale problem, Ito calculus, cylindrical measures, ergodic theory, etc.

Home page url

Download or read it online for free here:
Download link 1
Download link 2

(multiple PDF files)

Similar books

Book cover: Probability Theory and Stochastic Processes with ApplicationsProbability Theory and Stochastic Processes with Applications
by - Overseas Press
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, and more.
(6357 views)
Book cover: Introduction to Stochastic ProcessesIntroduction to Stochastic Processes
by - The University of Texas at Austin
Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.
(3344 views)
Book cover: Stochastic CalculusStochastic Calculus
by
An informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is little or no comment on more standard matters.
(10356 views)
Book cover: Applied Stochastic Processes in Science and EngineeringApplied Stochastic Processes in Science and Engineering
by - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
(3070 views)