Beskrivning
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.
Bokdetaljer
Format
Kindle
Sidor
248 sidor
Språk
Engelska
Publicerad
jun 29, 2013
Förlag
Springer
Upplagor
2 utgåvor
ISBN-10
3662100657
ISBN-13
9783662100653