Non-Fiction Books:

Stochastic Processes

Lectures given at Aarhus University
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Hardback
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Description

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 Levy-Ito decomposition, in a form close to Ito'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.
Release date Australia
March 12th, 2004
Author
Audience
  • Professional & Vocational
Contributors
  • Edited by Ken-iti Sato
  • Edited by Ole E. Barndorff-Nielsen
Edition
2004 ed.
Illustrations
XII, 236 p.
Pages
236
Dimensions
155x235x15
ISBN-13
9783540204824
Product ID
2108625

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