Authors:
- 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
- Includes supplementary material: sn.pub/extras
Part of the book series: Probability and Its Applications (PA)
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Table of contents (7 chapters)
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Front Matter
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Back Matter
About this book
This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times.
Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.
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Authors and Affiliations
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Institute of Mathematics, St. Petersburg Department of V.A.Steklov, St. Petersburg, Russia
Andrei N Borodin
Bibliographic Information
Book Title: Stochastic Processes
Authors: Andrei N Borodin
Series Title: Probability and Its Applications
DOI: https://doi.org/10.1007/978-3-319-62310-8
Publisher: Birkhäuser Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing AG 2017
Hardcover ISBN: 978-3-319-62309-2Published: 10 November 2017
Softcover ISBN: 978-3-319-87287-2Published: 24 May 2018
eBook ISBN: 978-3-319-62310-8Published: 30 October 2017
Series ISSN: 2297-0371
Series E-ISSN: 2297-0398
Edition Number: 1
Number of Pages: XIV, 626
Number of Illustrations: 1 b/w illustrations
Additional Information: Original Russian edition published by LAN Publishing, St. Petersburg, 2013