Stochastic processes : lectures given at Aarhus University
著者
書誌事項
Stochastic processes : lectures given at Aarhus University
Springer, c2004
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注記
Originally published as: Stochastic processes, 1968/69. Aarhus : Aarhus Universitet, Matematisk Institut, 1969, in series: Lecture notes series ; no. 16. With new pref
Includes bibliographical references and index
内容説明・目次
内容説明
This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Levy-Ito decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.
目次
0 Preliminaries.- 1 Additive Processes (Processes with Independent Increments).- 2 Markov Processes.- Exercises.- E.0 Chapter 0.- E.1 Chapter 1.- E.2 Chapter 2.- Appendix: Solutions of Exercises.- A.0 Chapter 0.- A.1 Chapter 1.- A.2 Chapter 2.
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