STOCHASTIC PROCESSES by S. R. S. Varadhan ( 9780821840856 ) - Books & Audio Books at Pickabook.co.uk

Item Details

Title:

STOCHASTIC PROCESSES

By:

S. R. S. Varadhan

Format:

Paperback

List price:

£29.95

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£26.96

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£2.99

ISBN 10:

0821840851

ISBN 13:

9780821840856

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Publisher:

AMERICAN MATHEMATICAL SOCIETY

Pub. date:

15 October, 2007

Series:

Courant Lecture Notes No. 16

Pages:

126

Description:

An introduction to stochastic processes studying certain elementary continuous-time processes. It includes 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.

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 Ito'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. Information for our distributors: Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.

Publication:

Imprint:

American Mathematical Society

Returns:

Returnable

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