Check nearby libraries
Buy this book
This is a readily accessible introduction to the theory of stochastic processes with emphasis on processes with independent increments and Markov processes. After preliminaries on infinitely divisible distributions and martingales, Chapter 1 gives a thorough treatment of the decomposition of paths of processes with independent increments, today called the Lévy-Itô decomposition, in a form close to Itô's original paper from 1942. Chapter 2 contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. Two separate Sections present about 70 exercises and their complete solutions. The text and exercises are carefully edited and footnoted, while retaining the style of the original lecture notes from Aarhus University.
Check nearby libraries
Buy this book
Edition | Availability |
---|---|
1
Stochastic Processes: Lectures Given at Aarhus University
2013, Springer London, Limited
in English
3662100657 9783662100653
|
aaaa
|
2
Stochastic Processes: Lectures given at Aarhus University
Nov 30, 2010, Springer, Springer Berlin Heidelberg
paperback
3642058051 9783642058059
|
zzzz
|
Book Details
Classifications
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?September 29, 2024 | Edited by MARC Bot | import existing book |
March 27, 2023 | Edited by Tom Morris | merge authors |
August 2, 2020 | Edited by ImportBot | import existing book |
May 8, 2020 | Created by ImportBot | import new book |