Name: stochastic processes
SKU: 3370775
Price: 77.74 EUR
Availability: InStock
Author: itô
ISBN: 9783540204824

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Type

Physical Book

Publisher

Springer

Author

itô

Language

English

Pages

234

ISBN

3540204822

ISBN13

9783540204824

Synopsis "stochastic processes"

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 itôs 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.