Studies in the Theory of Random Processes: 7021 (Dover Books on Mathematics)
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Book Details
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Author: A. V. Skorokhod
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Publisher: Dover
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Language: English
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Edition: Not specified
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ISBN: 0800759642403
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Pages: 208
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Cover: Paperback
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Dimensions: 8.4 x 5.5 x 0.5 inches
About The Book
This text is dedicated to the development of probabilistic methods in the field of stochastic differential equations and limit theorems for Markov processes. Written by A. V. Skorokhod, a leading expert in the field, this work provides specialists, researchers, and students in probability theory with a compact and valuable source of advanced material and essential theorems.
The book begins by laying the foundation with basic concepts in random processes and introduces the necessary tools of stochastic integrals, presenting all proofs in full. It then delves into the theory of stochastic differential equations, enabling the construction of a wide range of Markov processes based on simple processes. The latter chapters are devoted to limit theorems, examining the convergence of sequences of Markov chains to a continuous-time Markov process. In addition to the core theoretical aspects, topics such as the probability method for estimating the rate of convergence in limit theorems are also covered, providing a deep understanding of the precision in these theorems.
For those exploring advanced probability theory, this book is an essential reference, offering insights into the intricate relationship between stochastic processes and the foundational principles of Markov processes.