Stochastic Processes: Lectures given at Aarhus University - Tapa dura

Itô, Kiyosi

 
9783540204824: Stochastic Processes: Lectures given at Aarhus University
Tapa dura
ISBN 10: 3540204822 ISBN 13: 9783540204824
Editorial: Springer, 2004

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Críticas

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)

Reseña del editor

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2004
Idioma
Inglés
ISBN 10 
3540204822
ISBN 13 
9783540204824
Encuadernación
Tapa dura
Número de páginas
252
Editor
Sato Ken-iti, Barndorff-Nielsen Ole E
Contacto del fabricante
no disponible
Persona responsable
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