Markov Processes Browninan Motion

This Chapter serves as a bridge in our study of stochastic processes towards the continuous time and the stochastic integral. The goal is to introduce the concepts of Markov processes—that is, memoryless processes. We will start with the definition and key properties of general markov processes and how to construct them. We turn to specific applications in discrete time and then turn to the construction of a central Markov process, and martingale, namely the Brownian motion.

• Markov Processes
• Markov Chains
• Brownian Motion