Random Processes

Random processes are one of the most powerful tools in the study and understanding of countless phenomena in natural and social sciences.

The book is a complete medium-level introduction to the subject. The book is written in a clear and pedagogical manner but with enough rigor and scope that can appeal to both students and researchers.

This book is addressed to advanced students and professional researchers in many branches of science where level crossings and extremes appear but with some particular emphasis on some applications in socio-economic systems.
Contents: Random Processes:Fundamentals of ProbabilityRandom Processes: Definitions and General PropertiesMarkov ProcessesDiffusion ProcessesFokker–Planck Equations in Several DimensionsLinear Response TheoryStochastic Calculus with Some Applications:Introduction to Stochastic CalculusStochastic Differential EquationsSome Financial ApplicationsThe Level Crossing Problem:First-Passage, Escape and Extremes. General SettingsThe Level Crossing Problem for Diffusion ProcessesFirst-Passage and Extremes in Socio-Economic Systems
Readership: Advanced students and professional researchers.
Random Processes;First-Passage Times;Stochastic Calculus;Extremes0Key Features:The book gathers some aspects that are often disseminated in several publications (books and technical reports)The treatment of topics is rather unique (specially those of first-passages)