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Essentials of Stochastic Processes: Hello Word!

This document discusses stochastic processes and stochastic calculus. Stochastic processes have a random component, and stochastic calculus uses analytic tools to study stochastic processes. The document recommends Essentials of Stochastic Processes by Rick Durrett as an introductory book on the topic that does not require measure theory. It also recommends Jeffrey Rosenthal's A First Look at Rigorous Probability Theory for studying measure theoretic probability before stochastic calculus. The document mentions applications of stochastic processes in computer science for analyzing random algorithms.

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askazy007
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32 views

Essentials of Stochastic Processes: Hello Word!

This document discusses stochastic processes and stochastic calculus. Stochastic processes have a random component, and stochastic calculus uses analytic tools to study stochastic processes. The document recommends Essentials of Stochastic Processes by Rick Durrett as an introductory book on the topic that does not require measure theory. It also recommends Jeffrey Rosenthal's A First Look at Rigorous Probability Theory for studying measure theoretic probability before stochastic calculus. The document mentions applications of stochastic processes in computer science for analyzing random algorithms.

Uploaded by

askazy007
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Hello Word!

Stochastic processes are simply processes that have a random


component to them. Stochastic calculus is the study of the
analytic tools used to study stochastic processes.
A good introductory book is Essentials of Stochastic
Processes by Rick Durrett. This book does not use any measure
theory and only assumes comfortability with the undergraduate
probability curriculum. If you want to study stochastic calculus,
you will first need a background in measure theoretic
probability. For self study, I would recommend Jeffrey
Rosenthal's A First Look at Rigorous Probability Theory. The only
requisite is undergraduate analysis. There is a chapter in the
back about stochastic calculus.
What isn't an application of stochastic processes? :P My favorite
applications are in computer science where random algorithms
are sometimes much more powerful than deterministic ones and
to exactly quantify how powerful, one proves rigorous results
about mixing times and covering times of stochastic processes.

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[]internet_poster 2 pontos 7 meses atrs

Stochastic calculus is the study of the analytic tools used to


study stochastic processes.
I would say that stochastic calculus is really about creating
analogues of differential and integral calculus for a certain class
of stochastic processes, and manipulating symbols and objects
in much of the same way as you would in 'ordinary' calculus.

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pai
[]kohatsootsich 2 pontos 7 meses atrs

This is correct. Stochastic calculus applies to certain continuous


time processes (essentially, martingales, although this
conditional can be relaxed).
It is most powerful in the case when the index set is onedimensional (for example, time). Many interesting stochastic
processes such as percolation, random planar maps, Ising-type
models, and combinatorial processes such as random partitions
do not naturally have a time parameter attached to them.

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