**Advanced Topics in Probability**

by S.R.S. Varadhan

**Publisher**: New York University 2011**Number of pages**: 203

**Description**:

Topics: Brownian Motion; Continuous Parameter Martingales; Diffusion Processes; Weak convergence and Compactness; Stochastic Integrals and Ito's formula; Markov Processes, Kolmogorov's equations; Stochastic Differential Equations; Existence and Uniqueness; Girsanov Formula; Random Time Change; The two dimensional case; The General Case; Limit Theorems; Reflected Brownian Motion; Reflection in higher dimensions; Invariant Measures.

Download or read it online for free here:

**Download link**

(multiple PDF files)

## Similar books

**Probability Theory and Stochastic Processes with Applications**

by

**Oliver Knill**-

**Overseas Press**

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, and more.

(

**6428**views)

**Continuous Distributions**

by

**Leif Mejlbro**-

**BookBoon**

Contents: Some theoretical background; Exponential Distribution; The Normal Distribution; Central Limit Theorem; Maxwell distribution; Gamma distribution; Normal distribution and Gamma distribution; Convergence in distribution; 2 distribution; etc.

(

**5106**views)

**Lectures on Integrable Probability**

by

**Alexei Borodin, Vadim Gorin**-

**arXiv**

Topics include integrable models of random growth, determinantal point processes, Schur processes and Markov dynamics on them, Macdonald processes and their application to asymptotics of directed polymers in random media.

(

**3495**views)

**Radically Elementary Probability Theory**

by

**Edward Nelson**-

**Princeton University Press**

In this book Nelson develops a new approach to probability theory that is just as powerful as but much simpler than conventional Kolmogorov-style probability theory used throughout mathematics for most of the 20th century.

(

**12488**views)