Andrei N Borodin

Stochastic Processes (eBook, PDF)

• Format: PDF

Produktbeschreibung

Gives a rigorous yet understandable presentation of the theory of stochastic processes

Presents the theory of distributions of functionals of diffusions including local times, rarely found in literature

Devotes serious attention to the Brownian local time

Includes many examples and exercises

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Produktdetails

• Verlag: Springer International Publishing
• Seitenzahl: 626
• Erscheinungstermin: 30. Oktober 2017
• Englisch
• ISBN-13: 9783319623108
• Artikelnr.: 53060761

Inhaltsangabe

Preface.- Notations.- Basic facts.- Stochastic calculus.- Distributions of functionals of Brownian motion.- Diffusion processes.- Brownian local time.- Diffusions with jumps.- Invariance principle for random walks and local times.- Appendix 1. Heat transfer problem.- Appendix 2. Special functions.- Appendix 3. Inverse Laplace transforms.- Appendix 4. Differential equations and their solutions.- Appendix 5. Examples of transformations of measures associated with diffusion processes.- Appendix 6. Formulae for n-fold differentiation.- Bibliography.- Subject index.

Rezensionen

"The aim of the book is to give a rigorous and at the same time accessible presentation of the theory of stochastic processes. ... The book is written in a clear and rigorous language, and will be useful to students, graduate students, teachers and anyone who is interested in the theory of stochastic processes." (Yuliya S. Mishura, zbMATH 1390.60003, 2018)