Advanced Stochastic Processes
by Jan A. Van Casteren
Publisher: Bookboon 2013
Number of pages: 404
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.
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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 Alan Bain
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.
by S. Watanabe - Tata Institute of Fundamental Research
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
by K. Ito - Tata Institute of Fundamental Research
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.