Stochastic processes
"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…
Read More ↓Title Statements
- Full title :Stochastic processes / S.R.S. Varadhan.
Summary
"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."--Jacket.
Read More ↓Edition Statements
- Publication Date:©2007.
Publication Statements
- Publisher(s):American mathematical Society, Courant Institute of Mathematical Sciences
- Place of Publication:New York, N.Y
- Language:eng
- Publication Date:©2007.
The Physical Object
- Description:ix, 126 pages ; : 26 cm.
Edition Identifiers
- ISBN:9780821840856, 0821840851
- oclc:ocn162507387
- LC Classification:QA274
- Dewey Decimal:519.2/3
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