Probability Theory and Stochastic Processes with Applications
by Oliver Knill
Publisher: Overseas Press 2009
Number of pages: 382
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, Vlasov dynamics, multi-dimensional moment problems, random maps, etc.
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by Leif Mejlbro - BookBoon
In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.
by Daniel W. Stroock - Tata Institute of Fundamental Research
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
by Matt Scott - University of Waterloo
This book is designed as an introduction to the ideas and methods used to formulate mathematical models of physical processes in terms of random functions. A senior undergraduate course offered to students with a suitably mathematical background.
by Jan A. Van Casteren - Bookboon
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, etc.