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Stochastic Processes: Lectures Given at Aarhus University
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Stochastic Processes: Lectures Given at Aarhus University Hardcover - 2004

by Ole E. Barndorff-Nielsen (Editor); Kiyosi Ito; Ken-Iti Sato (Editor)


From the publisher

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. 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.

First line

Let (, B, P) be the basic probability space.

Details

  • Title Stochastic Processes: Lectures Given at Aarhus University
  • Author Ole E. Barndorff-Nielsen (Editor); Kiyosi Ito; Ken-Iti Sato (Editor)
  • Binding Hardcover
  • Edition 1st
  • Pages 236
  • Volumes 1
  • Language ENG
  • Publisher Springer, Berlin; Heidelberg; New York
  • Date 2004-03-12
  • Illustrated Yes
  • ISBN 9783540204824 / 3540204822
  • Weight 1.08 lbs (0.49 kg)
  • Dimensions 9.33 x 6.51 x 0.76 in (23.70 x 16.54 x 1.93 cm)
  • Library of Congress Catalog Number 2004044984
  • Dewey Decimal Code 519.23
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