Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your email address or mobile phone number.
Markov Processes: Characterization and Convergence 2nd Edition
Use the Amazon App to scan ISBNs and compare prices.
Frequently Bought Together
Customers Who Bought This Item Also Bought
More About the Author
Top Customer Reviews
The book is reasonably self-contained, although the reader is well-advised to prepare herself with an understanding of analysis and measure theory. I recommend Rudin's Real and Complex Analysis. The authors provide an appendix which catalogues the measure-theory results they require.
The introduction to the book might be a little off-putting, particularly to readers who aren't familiar with the topic. The first-time reader should skip the introduction and head straight to Chapter 1. Once you've completed the book, the Introduction makes a wonderful synopsis.
Chapter 1 focuses on operator semigroups and builds the foundations required for the remainder of the text. The Hille-Yosida Theorem characterizing those linear operators which can be generators of 'good' semigroups is studied in depth. Generalizations of Hille-Yosida are discussed, and special attention is given to operators on function spaces.
Chapter 2 develops the material needed for the analysis of stochastic processes. After covering the basic definitions, the chapter provides a self-contained treatment of the Optional Sampling Theorem. Quadratic variation of local martingales is built-up from the variation of the sample paths. Right-continuous modifications are developed as a prelude to the Doob-Meyer Theorem. The authors provide an extremely elegant and intuitive proof of the Doob-Meyer Theorem and use the results to analyze square-integrable martingales.Read more ›
However, the book itself is a classic. Wish I could find a good condition used hard-bound copy.