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Topics in Stochastic Processes

Topics in Stochastic Processes

Paperback

Series: Publications of the Scuola Normale Superiore

Probability & Statistics

Currently unavailable to order

ISBN10: 8876421319
ISBN13: 9788876421310
Publisher: Edizioni Della Normale
Published: Oct 1 2004
Pages: 126
Weight: 0.66
Height: 0.36 Width: 6.49 Depth: 9.47
Language: English
The notes are based on lectures on stochastic processes given at Scuola Normale Superiore in 1999 and 2000. Some new material was added and only selected, less standard results were presented. We did not include several applications to statistical mechanics and mathematical finance, covered in the lectures, as we hope to write part two of the notes devoted to applications of stochastic processes in modelling. The main themes of the notes are constructions of stochastic processes. We present different approaches to the existence question proposed by Kolmogorov, Wiener, Ito and Prohorov. Special attention is also paid to Levy processes. The lectures are basically self-contained and rely only on elementary measure theory and functional analysis. They might be used for more advanced courses on stochastic processes.

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