Free Stochastic Calculus ebooks. Categorized directory of free Stochastic Calculus books. Read online or download free ebooks in different formats.
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18
Ebook Details
Author
K. Ito
Publisher
Tata Institute of Fundamental Research 1960
In this course of lectures the author discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics covered: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; Linear Diffusion.
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18
Ebook Details
Author
Jan A. Van Casteren
Publisher
Bookboon 2013
In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, the martingale problem, Ito calculus, cylindrical measures, ergodic theory, etc.
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17
Ebook Details
Author
Oliver Knill
Publisher
Overseas Press 2009
This text covers material of a basic probability course, discrete stochastic processes including Martingale theory, continuous time stochastic processes like Brownian motion and stochastic differential equations, estimation theory, Vlasov dynamics, multi-dimensional moment problems, random maps, etc.
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16
Ebook Details
Category
Author
F. Baccelli, G. Cohen, G. J. Olsder, J. Quadrat
Publisher
John Wiley & Sons 1993
This text presents new modelling and analysis techniques for the description of discrete event dynamic systems, emphasizing timing and synchronization aspects. Created within the text is a calculus which allows the derivation of analytical tools for computing the time behavior of this type of dynamic system.
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17
Ebook Details
Author
H. Kunita
Publisher
Tata Institute Of Fundamental Research 1986
The author presents basic properties of stochastic flows, specially of Brownian flows. Their relations with local characteristics and with stochastic differential equations are central problems. In the second part, as an application of the first part, various limit theorems for stochastic flows are presented.
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18
Ebook Details
Author
S. Watanabe
Publisher
Tata Institute of Fundamental Research 1984
The author's main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin.
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19
Ebook Details
Author
Leif Mejlbro
Publisher
BookBoon 2012
In this book you will find the basic stochastic processes mathematics that is needed by engineers and university students. Topics such as elementary probability calculus, density functions and stochastic processes are illustrated.
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16
Ebook Details
Author
Daniel W. Stroock
Publisher
Tata Institute of Fundamental Research 1982
The author's purpose in these lectures was to provide some insight into the properties of solutions to stochastic differential equations. In order to read these notes, one need only know the basic Ito theory of stochastic integrals.
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18
Ebook Details
Author
Anders Szepessy, et al.
Publisher
KTH 2010
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and mathematical finance. Typically.
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23
Ebook Details
Author
M. Gubinelli, N. Perkowski
Publisher
arXiv 2015
The aim of the course is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.