Continuous Time Markov Processes: An Introduction

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Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples. The initial chapter is devoted to the most important classical example - one dimensional Brownian motion. This, together with a chapter on continuous time Markov chains, provides the motivation for the general setup based on semigroups and generators. Chapters on stochastic calculus and probabilistic potential ...

Continuous Time Markov Processes: An Introduction 2010, American Mathematical Society, Providence

ISBN-13: 9780821849491

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