Stochastic Processes Lectures Given at Aarhus University |
|
| Author:
| Ito, Kiyosi |
| Editor:
| Barndorff-Nielsen, Ole E.
Sato, Ken-iti |
| ISBN: | 978-3-642-05805-9 |
| Publication Date: | Nov 2010 |
| Publisher: | Springer
|
| Book Format: | Paperback |
| List Price: | AUD $135.95 |
Book 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 Lévy-Itô 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.
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 Lévy-Itô 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.