Introduction to Stochastic Processes /
Chen, Mu-Fa
Introduction to Stochastic Processes / Mu-Fa Chen and Yong-Hua Mao - Beijing : Higher Education Press Limited Company, ©2023 - 230p. - World Scientific Series on Probability Theory and its Applications v.2 .
This book introduces stochastic processes in a concise manner, focusing on Markov chains and stochastic analysis. It covers ergodicity, recurrence, and various types of ergodicity using modern techniques like coupling and duality methods. The book also covers martingale theory, Brownian motions, stochastic integral, stochastic differential equations, and multidimensional stochastic integral and equations. It introduces topics like the Feynman-Kac formula, random time transform, and Girsanov transform, and the Brunn-Minkowski inequality in convex geometry. The book also features modern probability theory used in fields like MCMC and convex geometry and number theory.
9781944660512
Stochastic Processes
Mathematics
519.2 / CheI
Introduction to Stochastic Processes / Mu-Fa Chen and Yong-Hua Mao - Beijing : Higher Education Press Limited Company, ©2023 - 230p. - World Scientific Series on Probability Theory and its Applications v.2 .
This book introduces stochastic processes in a concise manner, focusing on Markov chains and stochastic analysis. It covers ergodicity, recurrence, and various types of ergodicity using modern techniques like coupling and duality methods. The book also covers martingale theory, Brownian motions, stochastic integral, stochastic differential equations, and multidimensional stochastic integral and equations. It introduces topics like the Feynman-Kac formula, random time transform, and Girsanov transform, and the Brunn-Minkowski inequality in convex geometry. The book also features modern probability theory used in fields like MCMC and convex geometry and number theory.
9781944660512
Stochastic Processes
Mathematics
519.2 / CheI