Stochastic Processes: Lectures given at Aarhus University
Kiyosi Ito
Stochastic Processes: Lectures given at Aarhus University
Kiyosi Ito
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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.
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