Van Casteren J.A. Advanced stochastic processes. Part II

3rd ed. — bookboon.com, 2018. — 259 p. This book deals with several aspects of stochastic process theory: Markov chains, renewal theory, Brownian motion, Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, stochastic calculus, Ito’s formula, regularity properties, Feller-Dynkin semigroups and (strong) Markov processes....