Stochastic Processes: Lectures Given at Aarhus University

by Kiyoshi Itō

Book Overview

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 L vy-It 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.

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• Format: Paperback
• Language: English
• ISBN: 3642058051
• ISBN13: 9783642058059
• Release Date: November 2010
• Publisher: Springer
• Length: 236 Pages
• Weight: 0.78 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"