Studies in the Theory of Random Processes (Paperback)

A.V. Skorokhod

ISBN 10: 0486642402 / ISBN 13: 9780486642406

Verlag: Dover Publications Inc., New York, 2017

Paperback. 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. Three-part treatment introduces basics plus theory of stochastic differential equations and various limit theorems connected with convergence of sequence of Markov chains to Markov process with continuous time. 1965 edition. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Bestandsnummer des Verkäufers 9780486642406

Inhaltsangabe:

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.

Über die Autorin bzw. den Autor: A. V. Skorokhod (1930–2011) was a Soviet mathematician and academician.

Bibliografische Details

Titel: Studies in the Theory of Random Processes (...
Verlag: Dover Publications Inc., New York
Erscheinungsdatum: 2017
Einband: Paperback
Zustand: new