Stochastic Processes (Courant Lecture Notes)

S.R.S. Varadhan

ISBN 10: 0821840851 / ISBN 13: 9780821840856

Published by Amer Mathematical Society, 2007

126 pages. 10.00x7.00x0.25 inches. In Stock. Seller Inventory # 0821840851

Synopsis:

This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. After a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps, the author proceeds to introduce Brownian motion and to develop stochastic integrals and Itô's theory in the context of one-dimensional diffusion processes. The book ends with a brief survey of the general theory of Markov processes. The book is based on courses given by the author at the Courant Institute and can be used as a sequel to the author's successful book Probability Theory in this series. Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.

Review: Amazingly, almost all of the proofs are given explicitly. In fact the author provides only eight references in the bibliography. This reflects the fact that, as a whole, this book is written in a totally self-contained manner. ...I can say that this book is a set of very well-written lecture notes, and it is organized as a clear synthesis of the theory of continuous-time stochastic processes with many examples and with plenty of exercises..." --Mathematical Reviews

The text is one of those that may be strongly recommended to all young mathematicians as a starter to precede a deeper study of probability and stochastic processes. --EMS Newsletter

Bibliographic Details

Title: Stochastic Processes (Courant Lecture Notes)
Publisher: Amer Mathematical Society
Publication Date: 2007
Binding: Paperback
Condition: Brand New