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.
Détails du livre
Format
Kindle
Pages
248 pages
Langue
Anglais
Publié
juin 29, 2013
Éditeur
Springer
Éditions
2 éditions
ISBN-10
3662100657
ISBN-13
9783662100653