Description
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.
Book Details
Format
Kindle
Pages
248 pages
Language
English
Published
Jun 29, 2013
Publisher
Springer
Editions
2 editions
ISBN-10
3662100657
ISBN-13
9783662100653