Applied Stochastic Processes in Science and Engineering
by Matt Scott
Publisher: University of Waterloo 2013
Number of pages: 316
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. Written for a senior undergraduate course offered to students with a suitably mathematical background.
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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.
by K. Ito - Tata Institute of Fundamental Research
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.
by S.P. Meyn, R.L. Tweedie - Springer
The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.
by I. F. Wilde
A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.