Stochastic Processes

Lectures given at Aarhus University
Softcover Nachdruck of hardcover 1. Auflage 2004
ISBN: 978-3-642-05805-9
Verlag: Springer

Buch, Englisch, 236 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 388 g

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.

Zielgruppe

Graduate

Autoren/Hrsg.

Ito, Kiyosi

Barndorff-Nielsen, Ole E

Sato, Ken-Iti

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik

Inhaltsverzeichnis

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.