Stochastic Processes [Hardcover]

Ken-Iti Sato (Author), Kiyosi Ito (Author), Ole E. Barndorff-Nielsen (Author)

Book Description

Publication Date: April 28, 2004 | ISBN-10: 3540204822 | ISBN-13: 978-3540204824 | Edition: 1

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.

Editorial Reviews

Review

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)

Product Details

• Hardcover: 234 pages
• Publisher: Springer; 1 edition (April 28, 2004)
• Language: English
• ISBN-10: 3540204822
• ISBN-13: 978-3540204824
• Product Dimensions: 9.4 x 6.2 x 0.7 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #2,880,213 in Books (See Top 100 in Books)

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