Stochastic Processes

  • 申立勇
  • Created: 2014-12-08
Stochastic Processes


Course No.S070103ZJ001

Course CategoryProfessional Basic Course


PrerequisitesAdvanced Probability.

Primary Coverage

Introduction (Basic Concepts for Stochastic Processes, Existence of a Stochastic Process).

Discrete Martingales (Doob’s Convergence Theorem, Uniform Integrability, Sampling Theorem).

Markov Chains (Random Walk, Classification on the State Space of a Markov Chain, Ergodic Theory).

Lévy Process (Brownian Motion, Poisson Point Process, Stable Process, Surbordinator).


[1] J. Bertoin, Lévy Processes, Cambridge Univ. Press, 1996.

[2] K.L. Chung, Markov Chains with Stationary Transition Probability, Springer-Verlag, 1960.

[3] D. Freedman, Brownian Motion and Diffusion, Springer-Verlag, 1971.

[4] D.H. Hu, Stochastic Processes, Wuhan Univ. Press, 2000 (In Chinese).

AuthorXiaoyu Hu (School of Mathematical Sciences, GUCAS)

DateJune, 2009