Studies in the Theory of Random Processes

A. V. Skorokhod

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English

Dover Publications Inc.
01 December 2017

Mathematics & Sciences; Probability & statistics; Stochastics

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.

AUTHOR: A. V. Skorokhod (19302011) was a Soviet mathematician and academician.

By: A. V. Skorokhod
Imprint: Dover Publications Inc.
Country of Publication: United States
Dimensions: Height: 215mm, Width: 140mm, Spine: 11mm
Weight: 255g
ISBN: 9780486642406
ISBN 10: 0486642402
Pages: 208
Publication Date: 01 December 2017
Audience: College/higher education , Further / Higher Education
Format: Paperback
Publisher's Status: Unspecified

A. V. Skorokhod (1930-2011) was a Soviet mathematician and academician.