Theory of probability and random processes / Leonid B. Koralov, Yakov G. Sinai.

Format:

Book

Author/Creator:

Koralov, Leonid B.

Contributor:

Sinaĭ, I︠A︡. G. (I︠A︡kov Grigorʹevich), 1935-

Series:

Universitext

Language:

English

Subjects (All):

Probabilities.

Stochastic processes.

Physical Description:

xi, 353 pages : illustrations ; 24 cm.

Edition:

Second edition.

Place of Publication:

Berlin ; New York : Springer Heidelberg, [2007]

Summary:

A one-year course in probability theory and the theory of random processes, taught at Princeton University to undergraduate and graduate students, forms the core of the content of this book

It is structured in two parts: the first part providing a detailed discussion of Lebesgue integration, Markov chains, random walks, laws of large numbers, limit theorems, and their relation to Renormalization Group theory. The second part includes the theory of stationary random processes, martingales, generalized random processes, Brownian motion, stochastic integrals, and stochastic differential equations. One section is devoted to the theory of Gibbs random fields.

This material is essential to many undergraduate and graduate courses. The book can also serve as a reference for scientists using modern probability theory in their research.

Notes:

Includes index.

ISBN:

3540254846

9783540254843

OCLC:

173072447