Introduction to Stochastic Processes

Describes the main features of major stochastic processes, giving definition of basic concepts and presenting key results with rigorous proofs. The theory is developed from basic foundation with a view to build a sound understanding of the subject. An introduction to ergodic theory is presented in the second part of the book.

Table of Contents

• Stochastic Processes
• Conditional Expectation
• Weak Convergence
• Discrete-Time Markov Chains
• Continuous Time Markov Chains
• Markov Processes
• Discrete Parameter Martingale
• Continuous Parameter Martingale
• Poisson Process
• Brownian Motion
• Levy Process
• Stochastic Calculus
• Ergodic Theory.