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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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Reference request: book on stochastic calculus (not finance)

I am looking at fractional Gaussian/Brownian noise from a signal theoretic and engineering point of view. In particular, I am looking at the math behind what defines these noise processes and what con …
Attila Kinali's user avatar