Stochastic Processes
( Courant Lecture Notes )
Publication series ：Courant Lecture Notes
Author： S. R. S. Varadhan
Publisher： American Mathematical Society
Publication year： 2007
E-ISBN: 9781470431167
P-ISBN(Hardback): 9780821840856
Subject： O211.6 stochastic process
Keyword： 暂无分类
Language： ENG
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Stochastic Processes
Description
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 Itô'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.
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