Stochastic Processes

Lectures given at Aarhus University

Inbunden, Engelska, 2004

AvKiyosi Ito,Ole E Barndorff-Nielsen,Ken-iti Sato,Ole E. Barndorff-Nielsen,Ken-Iti Sato

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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.

Produktinformation

Utgivningsdatum2004-03-12
Mått155 x 235 x 19 mm
Vikt541 g
FormatInbunden
SpråkEngelska
Antal sidor236
Upplaga2004
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783540204824

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From the reviews: "The book can be recommended as a fine introduction to such important branches of stochastic process theory as the theories of processes with independent increments and of Markov processes. It will be a valuable acquisition for any mathematical library. The text of the book has been carefully prepared by the editors ... ." (M.G. Shur, Mathematical Reviews, 2005e) "The book under review is in fact an advanced text suitable for graduate students and based around two topics-the structure of additive processes ... and the basic theory of Markov processes, which generalises Markov chains to continuous time and fairly general state spaces. ... a nice introduction to Markov processes making extensive use of semigroup techniques. ... The book concludes with a number of exercises accompanied by worked solutions." (David Applebaum, The Mathematical Gazette, March, 2005)