Book of Donmon Teith

This graduate text presents the elegant and profound theory of continuous parameter Markov processes and many of its applications. The authors focus on developi

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sci

From the reviews: J. Neveu, 1962 in Zentralblatt fr Mathematik, 92. Band Heft 2, p. 343: "Ce livre crit par l'un des plus minents spcialistes en la matire, est

This book develops systematically and rigorously, yet in an expository and lively manner, the evolution of general random processes and their large time propert