Stochastic Processes (Courant Lecture Notes)
S.R.S. Varadhan
ISBN 10: 0821840851 ISBN 13: 9780821840856
Editore: Amer Mathematical Society, 2007
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Descrizione:
126 pages. 10.00x7.00x0.25 inches. In Stock. Codice articolo 0821840851
Riassunto:
This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. After a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps, the author proceeds to introduce Brownian motion and to develop stochastic integrals and Ito's theory in the context of one-dimensional diffusion processes. The book ends with a brief survey of the general theory of Markov processes. The book is based on courses given by the author at the Courant Institute and can be used as a sequel to the author's successful book Probability Theory in this series. Information for our distributors: Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.
Product Description: Book by S R S Varadhan
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Dati bibliografici
Titolo: Stochastic Processes (Courant Lecture Notes)
Casa editrice: Amer Mathematical Society
Data di pubblicazione: 2007
Legatura: Paperback
Condizione: Brand New