Rabi N. Bhattacharya is a Professor of Mathematics at the University of Arizona. He is an IMS Fellow, a member of the AMS, and a recipient of the Humboldt Prize and a Guggenheim Fellowship. Edward C. Waymire is a Professor of Mathematics and Statistics at Oregon State University. He is a member of the AMS and SIAM, a Fellow of the IMS, and past Editor in Chief for the Annals of Applied Probability.
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Description
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.
'This may be the best all-around treatment [of stochastic processes] for use by graduate students with varied backgrounds but with some mathematical ambitions.' William G. Faris, University of Arizona 'The book is remarkably comprehensive. The additional notes at the end of the chapters contain a fund of information.' Richard F. Gundy, Rutgers University