Stochastic Processes: Lectures Given at Aarhus University
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Book Overview
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.
Format:Hardcover
Language:English
ISBN:3540204822
ISBN13:9783540204824
Release Date:March 2004
Publisher:Springer
Length:236 Pages
Weight:1.08 lbs.
Dimensions:0.8" x 6.5" x 9.3"
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