Stochastic Processes

Ivan G. Avramidi
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Ivan G. Avramidi: New Mexico Tech, Department of Mathematics

Chapter Chapter 7 in Heat Kernel Method and its Applications, 2015, pp 307-328 from Springer

Abstract: Abstract In this chapter we introduce the basic concepts of probability and stochastic processes such as Wiener process and Poisson process. Next, we present some basic concepts of stochastic calculus and discuss stochastic differential equations, in particular, such fundamental topics as Itô’s Lemma and forward and backward Kolmogorov equations.

Keywords: Stochastic Process; Poisson Process; Heat Kernel; Wiener Process; Discrete Distribution (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-26266-6_7

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DOI: 10.1007/978-3-319-26266-6_7

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