Lectures from Markov Processes to Brownian Motion

  • Kai Lai Chung

Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 249)

Table of contents

  1. Front Matter
    Pages i-viii
  2. Kai Lai Chung
    Pages 1-44
  3. Kai Lai Chung
    Pages 45-74
  4. Kai Lai Chung
    Pages 75-136
  5. Kai Lai Chung
    Pages 137-207
  6. Kai Lai Chung
    Pages 208-232
  7. Back Matter
    Pages 233-242

About this book

Introduction

This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over­ lapping material into a book, I aimed at presenting some of the best features of the subject with a minimum of prerequisities and technicalities. (Needless to say, one man's technicality is another's professionalism. ) But a text frozen in print does not allow for the latitude of the classroom; and the tendency to expand becomes harder to curb without the constraints of time and audience. The result is that this volume contains more topics and details than I had intended, but I hope the forest is still visible with the trees. The book begins at the beginning with the Markov property, followed quickly by the introduction of option al times and martingales. These three topics in the discrete parameter setting are fully discussed in my book A Course In Probability Theory (second edition, Academic Press, 1974). The latter will be referred to throughout this book as the Course, and may be considered as a general background; its specific use is limited to the mate­ rial on discrete parameter martingale theory cited in § 1. 4. Apart from this and some dispensable references to Markov chains as examples, the book is self-contained.

Keywords

Brownian motion Brownsche Bewegung Markov Markov chain Markov process Markov property Markowscher Prozess Martingale Motion Probability theory

Authors and affiliations

  • Kai Lai Chung
    • 1
  1. 1.Department of MathematicsStanford UniversityStanfordUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4757-1776-1
  • Copyright Information Springer-Verlag New York 1982
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4757-1778-5
  • Online ISBN 978-1-4757-1776-1
  • Series Print ISSN 0072-7830
  • About this book
Industry Sectors
Pharma
Biotechnology
Telecommunications
Consumer Packaged Goods
Aerospace
Oil, Gas & Geosciences