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Stochastic Processes

  • Ivan G. Avramidi
Chapter

Abstract

In this chapter we introduce the basic concepts of probability and stochastic processes such as Wiener process and Poisson process. Next, we present some basic concepts of stochastic calculus and discuss stochastic differential equations, in particular, such fundamental topics as Itô’s Lemma and forward and backward Kolmogorov equations.

Keywords

Stochastic Process Poisson Process Heat Kernel Wiener Process Discrete Distribution 
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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Ivan G. Avramidi
    • 1
  1. 1.Department of MathematicsNew Mexico TechSocorroUSA

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