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 Ito'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. Information for our distributors: Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.

Book Information
ISBN 9780821840856
Author S.R.S. Varadhan
Format Paperback
Page Count 126
Imprint American Mathematical Society
Publisher American Mathematical Society
Weight(grams) 263g