**Advanced Stochastic Processes**

by Jan A. Van Casteren

**Publisher**: Bookboon 2013**ISBN-13**: 9788740303988**Number of pages**: 404

**Description**:

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, the martingale problem, Ito calculus, cylindrical measures, ergodic theory, etc.

Download or read it online for free here:

**Download link 1**

**Download link 2**

(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.

(

**6560**views)

**Lectures on Stochastic Differential Equations and Malliavin Calculus**

by

**S. Watanabe**-

**Tata Institute of Fundamental Research**

The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.

(

**5410**views)

**Lectures on Singular Stochastic PDEs**

by

**M. Gubinelli, N. Perkowski**-

**arXiv**

The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.

(

**2037**views)

**Stochastic Calculus**

by

**Alan Bain**

An informal introduction to Stochastic Calculus, and especially to the Ito integral and some of its applications. The text concentrates on the parts of the course which the author found hard, there is little or no comment on more standard matters.

(

**10527**views)