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Stochastic Processes - Varadhan, S R S
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This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. The text describes the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps.

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Stochastic Processes 2008, American Mathematical Society(RI), New York, NY

ISBN-13: 9780821840856

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