Stochastic Processes : Lectures given at Aarhus University (9783540204824)

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 Levy-Ito 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.

Product details

• Format Hardback | 236 pages
• Dimensions 155 x 235 x 19.3mm | 1,170g
• Publication date 01 Jun 2004
• Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Publication City/Country Berlin, Germany
• Language English
• Edition Statement 2004 ed.
• Illustrations note XII, 236 p.
• ISBN10 3540204822
• ISBN13 9783540204824

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