Translations of Mathematical Monographs
2006; 171 pp; Hardcover
MSC: Primary 60;
Print ISBN: 978-0-8218-3898-3
Product Code: MMONO/231
List Price: $75.00
Individual Member Price: $60.00
Essentials of Stochastic ProcessesShare this page
This book is an English translation of Kiyosi
Itô's monograph published in Japanese in 1957. It gives a unified
and comprehensive account of additive processes (or Lévy processes),
stationary processes, and Markov processes, which constitute the three
most important classes of stochastic processes. Written by one of the
leading experts in the field, this volume presents to the reader lucid
explanations of the fundamental concepts and basic results in each of
these three major areas of the theory of stochastic processes.
With the requirements limited to an introductory graduate course on analysis (especially measure theory) and basic probability theory, this book is an excellent text for any graduate course on stochastic processes.
Kiyosi Itô is famous throughout the world for his work on stochastic integrals (including the Itô formula), but he has made substantial contributions to other areas of probability theory as well, such as additive processes, stationary processes, and Markov processes (especially diffusion processes), which are topics covered in this book. For his contributions and achievements, he has received, among others, the Wolf Prize, the Japan Academy Prize, and the Kyoto Prize.
Table of Contents
Table of Contents
Essentials of Stochastic Processes
Graduate students and research mathematicians interested in stochastic processes.
Written by one of the leading experts and founding fathers of the field, this volume presents to the reader lucid explanations of the fundamental concepts and basic results in each of the three major areas of the theory of stochastic processes.
-- Zentralblatt MATH
Because o fits conciseness, clarity, and carefully chosen set of bibliographic references (added as a Postscript) it seems the ideal support for a course on stochastic processes.
-- Mathematical Reviews