Overview
- 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
Access this book
Tax calculation will be finalised at checkout
Other ways to access
About this book
Similar content being viewed by others
Keywords
Table of contents (3 chapters)
Reviews
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)
Authors, Editors and Affiliations
Bibliographic Information
Book Title: Stochastic Processes
Book Subtitle: Lectures given at Aarhus University
Authors: Kiyosi Itô
Editors: Ole E. Barndorff-Nielsen, Ken-iti Sato
DOI: https://doi.org/10.1007/978-3-662-10065-3
Publisher: Springer Berlin, Heidelberg
-
eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2004
Hardcover ISBN: 978-3-540-20482-4Published: 12 March 2004
Softcover ISBN: 978-3-642-05805-9Published: 30 November 2010
eBook ISBN: 978-3-662-10065-3Published: 29 June 2013
Edition Number: 1
Number of Pages: XII, 236