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Stochastic Processes Amir Dembo (revised by Kevin Ross)

These are the lecture notes for a one quarter graduate course in Stochastic Pro-cesses that I taught at Stanford. University in 2002 and 2003. This course is intended for incoming master students in Stanford's Financial Mathematics program, for ad-vanced undergraduates majoring in mathematics and for graduate students from. Engineering, Economics, Statistics or the Business school. One purpose of this text is to prepare students to a rigorous study of Stochastic Di erential Equations. More broadly, its goal is to help the reader understand the basic concepts of measure the-ory that are relevant to the mathematical theory of probability and how they apply to the rigorous construction of the most fundamental classes of stochastic processes.

Từ khóa: Stochastic Processes, Martingales and stopping times, Brownian motion, Markov, Poisson and Jump processes, Conditional expectation

133 p tieuhoa 27/01/2013 273 1

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