Stochastic Processes (Courant Lecture Notes)

Varadhan, S.R.S.

American Mathematical Society（2007/10発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 126 p.
• 言語 ENG
• 商品コード 9780821840856
• DDC分類 519.23

基本説明

A brief introduction to stochastic processes studying certain elementary continuous-time processes.

Full 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. Information for our distributors: Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.

Contents

Introduction Processes with independent increments Poisson point processes Jump Markov processes Brownian motion One-dimensional diffusions General theory of Markov processes Appendix A. Measures on Polish spaces Appendix B. Additional remarks Bibliography Index.