Descrizione
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.
Dettagli del libro
Formato
Kindle
Pagine
248 pagine
Lingua
Inglese
Pubblicato
giu 29, 2013
Editore
Springer
Edizioni
2 edizioni
ISBN-10
3662100657
ISBN-13
9783662100653