Stochastic Processes with Applications.
Ian Grant Mackenzie, Ritwik Bhattacharya, Ed Waymire · Journal of the Royal Statistical Society Series C (Applied Statistics) · 1992
Preface to the Classics Edition Preface Sample course outline 1. Random walk and Brownian motion 2, Discrete-parameter Markov chains 3. Birth-death Markov chains 4. Continuous-parameter Markov chains 5. Brownian motion and diffusions 6. Dynamic programming and stochastic optimization 7. An introduction to stochastic differential equations 8. A probability and measure theory overview Author index Subject index Errata.