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Stochastic Processes: Lectures given at Aarhus University by Kiyosi Ito (Paperback, 2010)

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ISBN-13: 9783642058059, 978-3642058059. Stochastic Processes. This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. In addition, 70 exercises and their complete solutions are included.

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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.