Logo

Advanced Stochastic Processes

Small book cover: Advanced Stochastic Processes

Advanced Stochastic Processes
by

Publisher: Bookboon
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.

Home page url

Download or read it online for free here:
Download link 1
Download link 2

(multiple PDF files)

Similar books

Book cover: Introduction to Stochastic ProcessesIntroduction to Stochastic Processes
by - The University of Texas at Austin
Contents: Probability review; Mathematica in 15 minutes; Stochastic Processes; Simple random walk; Generating functions; Random walks - advanced methods; Branching processes; Markov Chains; The 'Stochastics' package; Classification of States; etc.
(6352 views)
Book cover: Stochastic Differential Equations: Models and NumericsStochastic Differential Equations: Models and Numerics
by - KTH
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and finance. Typically, these problems require numerical methods to obtain a solution.
(6045 views)
Book cover: Lectures on Topics in Stochastic Differential EquationsLectures on Topics in Stochastic Differential Equations
by - 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.
(8210 views)
Book cover: Nonlinear Parameter Estimation: An Integrated System in BasicNonlinear Parameter Estimation: An Integrated System in Basic
by - Marcel Dekker Inc
This book and software collection is intended to help scientists, engineers and statisticians in their work. We have collected various software tools for nonlinear parameter estimation, along with representative example problems.
(12953 views)