Advanced Stochastic Processes

• Category: Computer
• Author: David Gamarnik
• File type: PDF Files

Read and download free eBook intituled Advanced Stochastic Processes in format PDF Files created by David Gamarnik.

This guide to Stochastic Processes covers a wide range of topics. Short, readable chapters aim for clarity rather than full generality. The objectives of the text are to introduce students to the standard concepts and methods of stochastic modeling, to illustrate the rich diversity of applications of stochastic processes in the applied sciences, and to provide exercises in the application of simple stochastic analysis to realistic problems.

Topics include measure theoretic probability, martingales, filtration, and stopping theorems, elements of large deviations theory, Brownian motion and reflected Brownian motion, stochastic integration and Ito calculus and functional limit theorems. In addition, the class will go over some applications to finance theory, insurance, queueing and inventory models.

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Advanced Stochastic Processes