Beschrijving
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.
Boekdetails
Formaat
Kindle
Pagina's
248 pagina's
Taal
Engels
Gepubliceerd
jun. 29, 2013
Uitgever
Springer
Edities
2 edities
ISBN-10
3662100657
ISBN-13
9783662100653