Stochastic Processes - Couverture souple

Varadhan, S.R.S.

 
9780821840856: Stochastic Processes
Couverture souple
ISBN 10 : 0821840851 ISBN 13 : 9780821840856
Editeur : American Mathematical Society, 2007

Synopsis

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.

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Éditeur
American Mathematical Society
Date d'édition
2007
Langue
anglais
ISBN 10 
0821840851
ISBN 13 
9780821840856
Reliure
Broché
Nombre de pages
126
Coordonnées du fabricant
non disponible
Personne responsable
non disponible