Introduction to stochastic processes
- New Jersey : World Scientific, 2023
- xiii, 230 p. ; ill., 23 cm
- World scientific series on probability theory and its applications, 2737-4467 ; v2 .
Includes bibliographical references and index.
The book is so concise to cover the most important parts in stochastic processes: Markov chains and stochastic analysis. Some modern and new materials are included, such as the estimation of the first non-trivial eigenvalue and the Brunn-Minkowski inequality. The book provides abundant exercises for students, regarded as supplements to the main body of the book as well.
9781944660512
Markov chains Differential equations Branching process Brunn-Minkowski's inequality Collapse theorem Doob's stopping theorem Economic model Ergodicity Feynmann-Kac formula Gronwall's lemma Hamilton -Jacobi-Bellman equation Ito's formula Kolmogorov backward equation Person-Frobenius theorem Queueing theory Single birth process Transition probability matrix Uniqueness