Book 261

Erhan ÇınlarFebruary 21, 2011

Springer Science & Business Media

The first four chapters are on probability theory: measure and integration, probability spaces, conditional expectations, and the classical limit theorems. There follows chapters on martingales, Poisson random measures, Levy Processes, Brownian motion, and Markov Processes.

Special attention is paid to Poisson random measures and their roles in regulating the excursions of Brownian motion and the jumps of Levy and Markov processes. Each chapter has a large number of varied examples and exercises.

The book is based on the author’s lecture notes in courses offered over the years at Princeton University. These courses attracted graduate students from engineering, economics, physics, computer sciences, and mathematics.

Erhan Cinlar has received many awards for excellence in teaching, including the President’s Award for Distinguished Teaching at Princeton University. His research interests include theories of Markov processes, point processes, stochastic calculus, and stochastic flows. The book is full of insights and observations that only a lifetime researcher in probability can have, all told in a lucid yet precise style.

Publisher

Springer Science & Business Media

Published on

Feb 21, 2011

Pages

558

ISBN

9780387878591

Language

English

Genres

Mathematics / Calculus

Mathematics / Mathematical Analysis

Mathematics / Probability & Statistics / General

Mathematics / Probability & Statistics / Stochastic Processes

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