Bibliographic Information

Stochastic processes : lectures given at Aarhus University

Kiyosi Itô ; edited by Ole E. Barndorff-Nielsen, Ken-iti Sato

Springer, c2004

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Note

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

Description and Table of Contents

Description

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.

Table of Contents

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.

by "Nielsen BookData"

Details

  • NCID
    BA66747995
  • ISBN
    • 3540204822
  • LCCN
    2004044984
  • Country Code
    gw
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Berlin ; Tokyo
  • Pages/Volumes
    xii, 234 p.
  • Size
    24 cm
  • Classification
  • Subject Headings
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