Topics in stochastic processes

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The notes are based on lectures on stochastic processes given at Scuola Normale Superiore in 1999 and 2000. We did not include several applications to statistical mechanics and mathematical finance, covered in the lectures, as we hope to write part two of the notes devoted to applications of stochastic processes in modelling.



The notes are based on lectures on stochastic processes given at Scuola Normale Superiore in 1999 and 2000. Some new material was added and only selected, less standard results were presented. We did not include several applications to statistical mechanics and mathematical finance, covered in the lectures, as we hope to write part two of the notes devoted to applications of stochastic processes in modelling. The main themes of the notes are constructions of stochastic processes. We present different approaches to the existence question proposed by Kolmogorov, Wiener, Ito and Prohorov. Special attention is also paid to Levy processes. The lectures are basically self-contained and rely only on elementary measure theory and functional analysis. They might be used for more advanced courses on stochastic processes.

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Taal: en

Bindwijze: Paperback

Oorspronkelijke releasedatum: 01 oktober 2004

Aantal pagina's: 126

Illustraties: Nee

Hoofdauteur: Jerzy Zabczyk

Hoofduitgeverij: Scuola Normale Superiore

Extra groot lettertype: Nee

Product breedte: 170 mm

Product lengte: 240 mm

Verpakking breedte: 165 mm

Verpakking hoogte: 9 mm

Verpakking lengte: 241 mm

Verpakkingsgewicht: 299 g

EAN: 9788876421310

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