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Table Of Contents

Review and More
1.1 Probability Space
1.2 Random Variable
1.3 More σ-fields and Related Concepts
1.4. MULTIVARIATE NORMAL DISTRIBUTION 9
1.4 Multivariate Normal Distribution
1.5 Summary
Simple Random Walk
A simple random walk is
2.1 Counting sample paths
2.2 Summary
Generating Functions and
3.1 Renewal Events
3.2 Proof of the Renewal Theorem
3.3.1 Quick derivation of some generating functions
3.3.2 Hitting time theorem
3.3.3 Spitzer’s Identity
Theorem 3.7 Leads for tied-down random walk
3.4 Branching Process
3.5 Summary
Discrete Time Markov Chain
4.1 Classification of States and Chains
4.2 Class Properties
4.2.1 Properties of Markov Chain with Finite Number
4.3.1 Limiting Theorem
4.4 Reversibility
5.1 Birth Processes and the Poisson Process
5.1.1 Strong Markov Property
5.2. CONTINUOUS TIME MARKOV CHAINS 71
5.2 Continuous time Markov chains
5.3 Limiting probabilities
5.4. BIRTH-DEATH PROCESSES AND IMBEDDING 77
5.4 Birth-death processes and imbedding
5.5 Embedding
5.6 Markov chain Monte Carlo
6.1 Finite Dimensional Distribution
6.2 Sample Path
6.5 Stopping Times and Martingales
7.1 Existence of Brownian Motion
7.2 Martingales of Brownian Motion
7.3 Markov Property of Brownian Motion
7.4 Exit Times and Hitting Times
7.5 Maximum and Minimum of Brownian Mo-
7.6. ZEROS OF BROWNIAN MOTION AND ARCSINE LAW 107
7.6 Zeros of Brownian Motion and Arcsine
7.7 Diffusion Processes
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Stochastic Processes - Jiahua Chen

Stochastic Processes - Jiahua Chen

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Published by: chahar10 on Apr 28, 2012
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