Stochastic Processes (Courant Lecture Notes in Mathematics)
Publisher: American Mathematical Society; Courant Institute of Mathematical Sciences
Published: October 25, 2007
Language: eng
Format: Paperback
Number of pages: 126
ISBN-13: 9780821840856
Subjects: Probability & statistics; Stochastics; Nonfiction; Advanced; Mathematics; Stochastic processes; Science/Mathematics
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 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.