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.
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.
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.
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.
permalink []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.
permalink
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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