Essentials of stochastic processes

This book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy processes), stationary processes, and Markov processes, which constitute the three most important classes of stochastic proces...

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Autor principal: Ito, Kiyosi
Lenguaje:eng
Publicado: American Mathematical Society 2006
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Acceso en línea:http://cds.cern.ch/record/2713828
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author Ito, Kiyosi
author_facet Ito, Kiyosi
author_sort Ito, Kiyosi
collection CERN
description This book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy 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 Ito is famous throughout the world for his work on stochastic integrals (including the Ito 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.
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spelling cern-27138282021-04-21T18:09:12Zhttp://cds.cern.ch/record/2713828engIto, KiyosiEssentials of stochastic processesMathematical Physics and MathematicsThis book is an English translation of Kiyosi Ito's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Levy 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 Ito is famous throughout the world for his work on stochastic integrals (including the Ito 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.American Mathematical Societyoai:cds.cern.ch:27138282006
spellingShingle Mathematical Physics and Mathematics
Ito, Kiyosi
Essentials of stochastic processes
title Essentials of stochastic processes
title_full Essentials of stochastic processes
title_fullStr Essentials of stochastic processes
title_full_unstemmed Essentials of stochastic processes
title_short Essentials of stochastic processes
title_sort essentials of stochastic processes
topic Mathematical Physics and Mathematics
url http://cds.cern.ch/record/2713828
work_keys_str_mv AT itokiyosi essentialsofstochasticprocesses