Advanced Stochastic Processes
简介：
这个全面的随机过程指南给出了理论的完整概述，并解决了最重要的应用。它的水平可供应用学科的研究生和研究人员使用，既是一本课程书，也是个人读者的丰富资源。在本书中，基本上是独立的，对以下主题进行了彻底的处理: 布朗运动是高斯过程，布朗运动是马尔可夫过程，布朗运动是martingale。布朗运动也可以被视为对称随机游动的功能极限，在某种程度上也对此进行了讨论。处理的相关主题包括马尔可夫链，更新理论，mart问题，Ito演算，圆柱测度和遍历理论。在本书的第二部分中讨论了测度的收敛性，随机微分方程，feynman-kac半群以及doob-meyer分解定理。
英文简介：
This comprehensive guide to Stochastic Processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers.
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, and Brownian motion as a martingale. Brownian motion can also be considered as a functional limit of symmetric random walks, which is, to some extent, also discussed.
Related topics which are treated include Markov chains, renewal theory, the martingale problem, Ito calculus, cylindrical measures, and ergodic theory. Convergence of measures, stochastic differential equations, Feynman-Kac semigroups, and the Doob-Meyer decomposition theorem theorem are discussed in the second part of the book.
- 书名
- Advanced Stochastic Processes
- 译名
- 高等随机过程
- 语言
- 英语
- 年份
- 2015
- 页数
- 251页
- 大小
- 5.77 MB
- 下载
Advanced Stochastic Processes.pdf- 密码
- 65536
最后更新：2025-04-12 23:58:04