**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

**Applied Probability**

by

**Paul E Pfeiffer**-

**Connexions**

This textbook covers most aspects of advanced and applied probability. The book utilizes a number of user defined m-programs, in combination with built in MATLAB functions, for solving a variety of probabilistic problems.

(

**13407**views)

**A Probability Course for the Actuaries**

by

**Marcel B. Finan**-

**Arkansas Tech University**

This manuscript will help students prepare for the Probability Exam, the examination administered by the Society of Actuaries. This examination tests a student's knowledge of the fundamental probability tools for quantitatively assessing risk.

(

**13099**views)

**Probability Course**

by

**Gian-Carlo Rota**-

**David Ellerman**

In 1999, Gian-Carlo Rota gave his famous course, Probability, at MIT for the last time. The late John N. Guidi taped the lectures and took notes which he then wrote up in a verbatim manner conveying the substance and the atmosphere of the course.

(

**7808**views)

**Lectures on Elementary Probability**

by

**William G. Faris**-

**University of Arizona**

From the table of contents: Combinatorics; Probability Axioms; Discrete Random Variables; The Bernoulli Process; Continuous Random Variables; The Poisson Process; The weak law of large numbers; The central limit theorem; Estimation.

(

**9540**views)