Kiyosi Ito 
Stochastic Processes [PDF ebook] 
Lectures given at Aarhus University

Ajutor

The volume Stochastic Processes by K. Ito was published as No. 16 of Lecture Notes Series from Mathematics Institute, Aarhus University in August, 1969, based on Lectures given at that Institute during the academie year 1968- 1969. The volume was as thick as 3.5 cm., mimeographed from typewritten manuscript and has been out of print for many years. Since its appearance, it has served, for those ab Ie to obtain one of the relatively few copies available, as a highly readable introduetion to basic parts of the theories of additive processes (processes with independent increments) and of Markov processes. It contains, in particular, a clear and detailed exposition of the Levy-It o decomposition of additive processes. Encouraged by Professor It o we have edited the volume in the present book form, amending the text in a number of places and attaching many footnotes. We have also prepared an index. Chapter 0 is for preliminaries. Here centralized sums of independent ran- dom variables are treated using the dispersion as a main too I. Levy’s form of characteristic functions of infinitely divisible distributions and basic proper- ties of martingales are given. Chapter 1 is analysis of additive processes. A fundamental structure the- orem describes the decomposition of sample functions of additive processes, known today as the Levy-Ito decomposition. This is thoroughly treated, as- suming no continuity property in time, in a form close to the original 1942 paper of Ito, which gave rigorous expression to Levy’s intuitive understanding of path behavior.

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Limba Engleză ● Format PDF ● ISBN 9783662100653 ● Editor Ole E Barndorff-Nielsen & Ken-iti Sato ● Editura Springer Berlin Heidelberg ● Publicat 2013 ● Descărcabil 3 ori ● Valută EUR ● ID 6385743 ● Protecție împotriva copiilor Adobe DRM
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