Theory of Probability and Random Processes
Publication year: 2007
ISBN: 978-3-540-68829-7
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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 bookIt 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.
Subject: Mathematics and Statistics, Brownian motion, Markov chain, Markov process, Martingale, Probability, Probability theory, Random variable, random processes, random walk
