by Ken-itiSato (Editor), OleEilerBarndorff-Nielsen (Editor), KiyosiIto (Author)
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 Levy-Ito 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.
Format: Hardcover
Pages: 234
Edition: illustrated edition
Publisher: Springer
Published: 12 Mar 2004
ISBN 10: 3540204822
ISBN 13: 9783540204824
From the reviews:
The book can be recommended as a fine introduction to such important branches of stochastic process theory as the theories of processes with independent increments and of Markov processes. It will be a valuable acquisition for any mathematical library. The text of the book has been carefully prepared by the editors ... . (M.G. Shur, Mathematical Reviews, 2005e)
The book under review is in fact an advanced text suitable for graduate students and based around two topics-the structure of additive processes ... and the basic theory of Markov processes, which generalises Markov chains to continuous time and fairly general state spaces. ... a nice introduction to Markov processes making extensive use of semigroup techniques. ... The book concludes with a number of exercises accompanied by worked solutions. (David Applebaum, The Mathematical Gazette, March, 2005)
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