Please use this identifier to cite or link to this item:
http://thuvienso.bvu.edu.vn/handle/TVDHBRVT/15692
Title: | Advanced stochastic processes: Part I - eBooks and textbooks from bookboon.com |
Authors: | Casteren, Jan A. Van |
Keywords: | Differential equations Phương trình vi phân |
Issue Date: | 2015 |
Publisher: | bookboon.com |
Citation: | 2nd edition |
Abstract: | 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, and Brownian motion as a martingale. Brownian motion can also be considered as a functional limit of symmetric random walks, which is, to some extent, also discussed. Related topics which are treated include Markov chains, renewal theory, the martingale problem, Itô calculus, cylindrical measures, and ergodic theory. Convergence of measures, stochastic differential equations, Feynman-Kac semigroups, and the Doob-Meyer decomposition theorem theorem are discussed in the second part of the book. |
URI: | http://thuvienso.bvu.edu.vn/handle/TVDHBRVT/15692 |
ISBN: | 9788740311150 |
Appears in Collections: | Mathematics (bookboon.com) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Advanced-stochastic-processes-Part-I.pdf | 6,26 MB | Adobe PDF | Sign in to read |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.