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Stochastic Processes

S. R. S. Varadhan Courant Institute of Mathematical Sciences, New York, NY
A co-publication of the AMS and Courant Institute of Mathematical Sciences at New York University
Available Formats:
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 Electronic 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
Bundle Print and Electronic Formats and Save!
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List Price: $51.00 MAA Member Price:$45.90
AMS Member Price: $40.80 Click above image for expanded view Stochastic Processes S. R. S. Varadhan Courant Institute of Mathematical Sciences, New York, NY A co-publication of the AMS and Courant Institute of Mathematical Sciences at New York University Available Formats:  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
 Electronic 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 Bundle Print and Electronic Formats and Save! This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.  List Price:$51.00 MAA Member Price: $45.90 AMS Member Price:$40.80
• Book Details

Courant Lecture Notes
Volume: 162007; 126 pp
MSC: 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.

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

• Reviews

• 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.

• 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
• Requests

Review Copy – for reviewers who would like to review an AMS book
Accessibility – to request an alternate format of an AMS title
Volume: 162007; 126 pp
MSC: 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.

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