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| Softcover ISBN: | 978-0-8218-4085-6 |
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| Softcover ISBN: | 978-0-8218-4085-6 |
| Product Code: | CLN/16 |
| List Price: | $34.00 |
| MAA Member Price: | $30.60 |
| AMS Member Price: | $27.20 |
| eBook ISBN: | 978-1-4704-3116-7 |
| Product Code: | CLN/16.E |
| List Price: | $32.00 |
| MAA Member Price: | $28.80 |
| AMS Member Price: | $25.60 |
| Softcover ISBN: | 978-0-8218-4085-6 |
| eBook ISBN: | 978-1-4704-3116-7 |
| Product Code: | CLN/16.B |
| List Price: | $66.00 $50.00 |
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Book DetailsCourant Lecture NotesVolume: 16; 2007; 126 ppMSC: Primary 60
This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. After a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps, the author proceeds to introduce Brownian motion and to develop stochastic integrals and Itô's theory in the context of one-dimensional diffusion processes. The book ends with a brief survey of the general theory of Markov processes.
The book is based on courses given by the author at the Courant Institute and can be used as a sequel to the author's successful book Probability Theory in this series.
Srinivasa S. R. Varadhan is the winner of the 2007 Abel Prize. Varadhan was awarded the prize "for his fundamental contributions to probability theory and in particular for creating a unified theory of large deviations". Read more here.
Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.
ReadershipGraduate students and research mathematicians interested in stochastic processes.
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Table of Contents
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Chapters
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Chapter 1. Introduction
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Chapter 2. Processes with independent increments
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Chapter 3. Poisson point processes
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Chapter 4. Jump Markov processes
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Chapter 5. Brownian motion
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Chapter 6. One-dimensional diffusions
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Chapter 7. General theory of Markov processes
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Appendix A. Measures on Polish spaces
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Appendix B. Additional remarks
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Additional Material
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Reviews
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The text is one of those that may be strongly recommended to all young mathematicians as a starter to precede a deeper study of probability and stochastic processes.
EMS Newsletter -
Amazingly, almost all of the proofs are given explicitly. In fact the author provides only eight references in the bibliography. This reflects the fact that, as a whole, this book is written in a totally self-contained manner. ...I can say that this book is a set of very well-written lecture notes, and it is organized as a clear synthesis of the theory of continuous-time stochastic processes with many examples and with plenty of exercises...
Mathematical Reviews
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RequestsReview Copy – for publishers of book reviewsAccessibility – to request an alternate format of an AMS title
- Book Details
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- Additional Material
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This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. After a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps, the author proceeds to introduce Brownian motion and to develop stochastic integrals and Itô's theory in the context of one-dimensional diffusion processes. The book ends with a brief survey of the general theory of Markov processes.
The book is based on courses given by the author at the Courant Institute and can be used as a sequel to the author's successful book Probability Theory in this series.
Srinivasa S. R. Varadhan is the winner of the 2007 Abel Prize. Varadhan was awarded the prize "for his fundamental contributions to probability theory and in particular for creating a unified theory of large deviations". Read more here.
Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.
Graduate students and research mathematicians interested in stochastic processes.
-
Chapters
-
Chapter 1. Introduction
-
Chapter 2. Processes with independent increments
-
Chapter 3. Poisson point processes
-
Chapter 4. Jump Markov processes
-
Chapter 5. Brownian motion
-
Chapter 6. One-dimensional diffusions
-
Chapter 7. General theory of Markov processes
-
Appendix A. Measures on Polish spaces
-
Appendix B. Additional remarks
-
The text is one of those that may be strongly recommended to all young mathematicians as a starter to precede a deeper study of probability and stochastic processes.
EMS Newsletter -
Amazingly, almost all of the proofs are given explicitly. In fact the author provides only eight references in the bibliography. This reflects the fact that, as a whole, this book is written in a totally self-contained manner. ...I can say that this book is a set of very well-written lecture notes, and it is organized as a clear synthesis of the theory of continuous-time stochastic processes with many examples and with plenty of exercises...
Mathematical Reviews
