Stochastic Processes: Lectures given at Aarhus University - Brossura

Ito, Kiyosi

 
9783642058059: Stochastic Processes: Lectures given at Aarhus University
Brossura
ISBN 10: 3642058051 ISBN 13: 9783642058059
Casa editrice: Springer Berlin Heidelberg, 2010

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Recensione

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)

Contenuti

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.

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Editore
Springer Berlin Heidelberg
Data di pubblicazione
2010
Lingua
Inglese
ISBN 10 
3642058051
ISBN 13 
9783642058059
Rilegatura
Copertina flessibile
Numero di pagine
248
Redattore
Barndorff-Nielsen Ole E.
Contatto del produttore
non disponibile
Persona responsabile
CMN Printpool Inh. Mathis Neumann
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Hamburg
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Altre edizioni note dello stesso titolo

9783540204824: Stochastic Processes: Lectures Given at Aarhus University

Edizione in evidenza

ISBN 10:  3540204822 ISBN 13:  9783540204824
Casa editrice: Springer Nature, 2004
Rilegato