Stochastic processes : lectures given at Aarhus University /
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 o...
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| Format: | eBook |
| Language: | English |
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Berlin ; New York :
Springer-Verlag,
[2004]
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | Revised edition of: Stochastic processes, 1968/69. 1969. Electronic resource. |
| Physical Description: | 1 online resource (xii, 234 pages) : illustrations |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9783662100653 (electronic bk.) 3662100657 (electronic bk.) |