Stochastic Processes (Courant Lecture Notes) - Softcover

Varadhan, S.R.S.

Softcover

ISBN 10: 0821840851 ISBN 13: 9780821840856

Publisher: 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.

Edition details

• Publisher: American Mathematical Society
• Publication date: 2007
• Language: English
• ISBN 10: 0821840851
• ISBN 13: 9780821840856
• Binding: Paperback
• Number of pages: 126