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This Is A Brief Introduction To Stochastic Processes Studying Certain Elementary Continuoustime Processes. After A Description Of The Poisson Process And Related Processes With Independent Increments As Well As A Brief Look At Markov Processes With A Finite Number Of Jumps, The Author Proceeds To Introduce Brownian Motion And To Develop Stochastic Integrals And It'S Theory In The Context Of Onedimensional Diffusion Processes. The Book Ends With A Brief Survey Of The General Theory Of Markov Processes. The Book Is Based On Courses Given By The Author At The Courant Institute And Can Be Used As A Sequel To The Author'S Successful Book Probability Theory In This Series. Titles In This Series Are Copublished With The Courant Institute Of Mathematical Sciences At New York University.
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