Stochastic Processes, Softcover reprint of hardcover 1st ed. 2004 Lectures given at Aarhus University
Auteur : Ito Kiyosi
Coordonnateurs : Barndorff-Nielsen Ole E, Sato Ken-iti
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.
Very gentle and detailed introduction to the theory of stochastic processes with emphasis on Levy processes and Markov processes
Exercises (about 70) are accompanied by complete solutions
Proof by Ito himself of the celebrated Levy-Ito decomposition of paths of Levy processes
Carefully edited and footnoted, while retaining the lecturing style of the original notes
Includes supplementary material: sn.pub/extras
Date de parution : 11-2010
Ouvrage de 236 p.
15.5x23.5 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 63,29 €
Ajouter au panierDate de parution : 03-2004
Ouvrage de 236 p.
15.5x23.5 cm