Advanced Stochastic Processes by Jan A. Van Casteren
Advanced Stochastic Processes
Advanced Stochastic Processes by Jan A. Van Casteren
Publisher: Bookboon 2013
ISBN-13: 9788740303988
Number of pages: 404
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.
Mathematics Probability & Statistics Stochastic Calculus
Publisher: Bookboon 2013
ISBN-13: 9788740303988
Number of pages: 404
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.
Mathematics Probability & Statistics Stochastic Calculus
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