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Advanced Topics in Probability by S.R.S. Varadhan

Advanced Topics in Probability

Advanced Topics in Probability by S.R.S. Varadhan
Advanced Topics in Probability by S.R.S. Varadhan
Publisher: New York University 2011
Topics: Brownian Motion; Continuous Parameter Martingales; Diffusion Processes; Weak convergence and Compactness; Stochastic Integrals and Ito's formula; Markov Processes, Kolmogorov's equations; Stochastic Differential Equations; Existence and Uniqueness; Girsanov Formula; Random Time Change; The two dimensional case; The General Case; Limit Theorems; Reflected Brownian Motion; Reflection in higher dimensions; Invariant Measures.
Mathematics Probability & Statistics Probability
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