Introduction to Stochastic Processes

Paul G Hoel

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Langue : anglais

Edité par Waveland Press, 1987

0881332674 / 9780881332674

Vendeur : World of Books Inc, Montgomery, IL, Etats-UnisWorld of Books Inc

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The objective of this book is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts -- Markov chains and stochastic analysis. The readers are led directly to the core of the main topics to be treated in the context. Further details and additional materials are left to a section containing abundant exercises for further reading and studying.In the part on Markov chains, the focus is on the ergodicity. By using the minimal nonnegative solution method, we deal with the recurrence and various types of ergodicity. This is done step by step, from finite state spaces to denumerable state spaces, and from discrete time to continuous time. The methods of proofs adopt modern techniques, such as coupling and duality methods. Some very new results are included, such as the estimate of the spectral gap. The structure and proofs in the first part are rather different from other existing textbooks on Markov chains.In the part on stochastic analysis, we cover the martingale theory and Brownian motions, the stochastic integral and stochastic differential equations with emphasis on one dimension, and the multidimensional stochastic integral and stochastic equation based on semimartingales. We introduce three important topics here: the Feynman-Kac formula, random time transform and Girsanov transform. As an essential application of the probability theory in classical mathematics, we also deal with the famous Brunn-Minkowski inequality in convex geometry.This book also features modern probability theory that is used in different fields, such as MCMC, or even deterministic areas: convex geometry and number theory. It provides a new and direct routine for students going through the classical Markov chains to the modern stochastic analysis.

N° de réf. du vendeur CIN0881332674G

Titre
Introduction to Stochastic Processes
Auteur
Paul G Hoel
Éditeur
Waveland Press
Année de publication
1987
État de l'article
Good
Reliure
Paperback
Langue
anglais
ISBN à 10 chiffres
0881332674
ISBN à 13 chiffres
9780881332674

World of Books Inc

Montgomery, IL, Etats-Unis

Vendeur avec une évaluation de 4 étoiles

Vendeur AbeBooks depuis 23 mars 2026

Frais d'expédition à l'intérieur de ce pays : Etats-Unis

Article4 à 12 jours ouvrés3 à 6 jours ouvrés
Premier articleEUR 0,00EUR 9,55
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