Stochastic Processes

  • Andrei N Borodin

Part of the Probability and Its Applications book series (PA)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Andrei N. Borodin
    Pages 1-84
  3. Andrei N. Borodin
    Pages 85-196
  4. Andrei N. Borodin
    Pages 197-266
  5. Andrei N. Borodin
    Pages 267-358
  6. Andrei N. Borodin
    Pages 359-438
  7. Andrei N. Borodin
    Pages 439-500
  8. Back Matter
    Pages 583-626

About this book


This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times.

Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.


stochastic calculus diffusion processes Brownian motion differential equations conditional probabilities conditional expectations

Authors and affiliations

  • Andrei N Borodin
    • 1
  1. 1.Institute of MathematicsSt. Petersburg Department of V.A.SteklovSt. PetersburgRussia

Bibliographic information

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