Stochastic Processes - Softcover

Inhaltsangabe

Preface.- Notations.- Basic facts.- Stochastic calculus.- Distributions of functionals of Brownian motion.- Diffusion processes.- Brownian local time.- Diffusions with jumps.- Invariance principle for random walks and local times.- Appendix 1. Heat transfer problem.- Appendix 2. Special functions.- Appendix 3. Inverse Laplace transforms.- Appendix 4. Differential equations and their solutions.- Appendix 5. Examples of transformations of measures associated with diffusion processes.- Appendix 6. Formulae for n-fold differentiation.- Bibliography.- Subject index.

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