Stochastic Processes
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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. Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University
LF/783603/R
Data sheet
- Name of the Author
- S. R. S. Varadhan
- Language
- English
- Series
- Courant lecture notes in mathematics 16
- ISBN
- 9783720075190
- Release date
- 2007
