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Stochastic Processes - 9780821840856

Un libro in lingua di Varadhan S. R. S. edito da Amer Mathematical Society, 2007

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This is a brief introduction to stochastic processes for 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 book introduces Brownian motion and develops 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. Material is based on courses given by the author and can be used as a sequel to his book Probability Theory. Varadhan is affiliated with the Courant Institute of Mathematical Sciences at New York University. There is no subject index. Annotation ©2008 Book News, Inc., Portland, OR (booknews.com)

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