- 199 pages
- English
- ePUB (mobile friendly)
- Available on iOS & Android
eBook - ePub
Studies in the Theory of Random Processes
About this book
This text is devoted to the development of certain probabilistic methods in the specific field of stochastic differential equations and limit theorems for Markov processes. Specialists, researchers, and students in the field of probability will find it a source of important theorems as well as a remarkable amount of advanced material in compact form.
The treatment begins by introducing the basic facts of the theory of random processes and constructing the auxiliary apparatus of stochastic integrals. All proofs are presented in full. Succeeding chapters explore the theory of stochastic differential equations, permitting the construction of a broad class of Markov processes on the basis of simple processes. The final chapters are devoted to various limit theorems connected with the convergence of a sequence of Markov chains to a Markov process with continuous time. Topics include the probability method of estimating how fast the sequence converges in the limit theorems and the precision of the limit theorems.
The treatment begins by introducing the basic facts of the theory of random processes and constructing the auxiliary apparatus of stochastic integrals. All proofs are presented in full. Succeeding chapters explore the theory of stochastic differential equations, permitting the construction of a broad class of Markov processes on the basis of simple processes. The final chapters are devoted to various limit theorems connected with the convergence of a sequence of Markov chains to a Markov process with continuous time. Topics include the probability method of estimating how fast the sequence converges in the limit theorems and the precision of the limit theorems.
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Please note we cannot support devices running on iOS 13 and Android 7 or earlier. Learn more about using the app.
Yes, you can access Studies in the Theory of Random Processes by A. V. Skorokhod in PDF and/or ePUB format, as well as other popular books in Mathematics & Games in Mathematics. We have over one million books available in our catalogue for you to explore.
Information
Table of contents
- Cover
- Title Page
- Copyright Page
- Preface
- Contents
- Chapter 1: Certain Facts from the Theory of Random PROCESSES
- Chapter 2: Stochastic Integrals
- Chapter 3: Markov Processes and Stochastic Equations
- Chapter 4: Differentiability of Measures Corresponding to Markov Processes
- Chapter 5: One-dimensional Diffusion Processes
- Chapter 6: The Limiting Transition from a Markov Chain to a Markov Process with Continuous Time
- Chapter 7: Some Limit Theorems for Sums of Independent Random Variables
- Supplementary Remarks
- Bibliography
- Index