Introduction to Stochastic Processes / Mu-Fa Chen and Yong-Hua Mao

By:

Chen, Mu-Fa

Contributor(s):

Mao, Yong-Hua

Material type: Text

TextLanguage: English Series: World Scientific Series on Probability Theory and its Applications ; v.2Publication details: Beijing : Higher Education Press Limited Company, ©2023 Description: 230pISBN:

9781944660512

Subject(s):

DDC classification:

519.2 CheI

Summary: 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.

List(s) this item appears in: New Arrivals 15-30 November 2025, Vol. 06, Issue 31

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Barcode
Books	Indian Institute of Technology Tirupati General Stacks	Mathematics	519.2 CheI (11655) (Browse shelf(Opens below))	Copy 01	Available	11655

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.

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