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 F.P. Kelly - John Wiley and Sons Ltd
The book on vector stochastic processes in equilibrium or stochastic networks, with wide range of applications. It covers the concept of reversibility, the output from a queue, and the epolymerization process quilibrium distribution.
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The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.
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