Stochastic Analysis in Problems, part 1 (in Russian)

TL;DR

This book offers a comprehensive collection of exercises spanning basic to advanced topics in stochastic analysis, integrating classical results with modern techniques for educational and practical use.

Contribution

It compiles a wide range of exercises covering classical and modern stochastic analysis, serving as a valuable resource for teaching and self-study.

Findings

Extensive exercises across stochastic disciplines

Includes classical results and modern techniques

Suitable for courses, exams, and self-education

Abstract

This book contains a large number of exercises related to different stochastic disciplines. Difficulty of the problems varies from the basic level in the first chapter up to the analysis of articles in Probability, Statistics and Computer Science. Range of the given exercises covers most of the significant classical results of the area including techniques that arise in modern stochastic disciplines. The book is recommended for the course "Stochastic Analysis in problems" which is held by the Department of Mathematical Foundations of Control in Moscow Institute of Physics and Technology. Content of the book may be used for practical classes, exams and for self-education reasons in various stochastic disciplines.