Stochastic Processes: Lectures given at Aarhus University
Autor Kiyosi Ito Editat de OLE E. Barndorff-Nielsen, Ken-iti Satoen Limba Engleză Hardback – 12 mar 2004
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Specificații
ISBN-13: 9783540204824
ISBN-10: 3540204822
Pagini: 248
Ilustrații: XII, 236 p.
Dimensiuni: 155 x 235 x 19 mm
Greutate: 0.49 kg
Ediția:2004
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany
ISBN-10: 3540204822
Pagini: 248
Ilustrații: XII, 236 p.
Dimensiuni: 155 x 235 x 19 mm
Greutate: 0.49 kg
Ediția:2004
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany
Public țintă
GraduateCuprins
0 Preliminaries.- 1 Additive Processes (Processes with Independent Increments).- 2 Markov Processes.- Exercises.- E.0 Chapter 0.- E.1 Chapter 1.- E.2 Chapter 2.- Appendix: Solutions of Exercises.- A.0 Chapter 0.- A.1 Chapter 1.- A.2 Chapter 2.
Recenzii
From the reviews:
"The book can be recommended as a fine introduction to such important branches of stochastic process theory as the theories of processes with independent increments and of Markov processes. It will be a valuable acquisition for any mathematical library. The text of the book has been carefully prepared by the editors … ." (M.G. Shur, Mathematical Reviews, 2005e)
"The book under review is in fact an advanced text suitable for graduate students and based around two topics-the structure of additive processes … and the basic theory of Markov processes, which generalises Markov chains to continuous time and fairly general state spaces. … a nice introduction to Markov processes making extensive use of semigroup techniques. … The book concludes with a number of exercises accompanied by worked solutions." (David Applebaum, The Mathematical Gazette, March, 2005)
"The book can be recommended as a fine introduction to such important branches of stochastic process theory as the theories of processes with independent increments and of Markov processes. It will be a valuable acquisition for any mathematical library. The text of the book has been carefully prepared by the editors … ." (M.G. Shur, Mathematical Reviews, 2005e)
"The book under review is in fact an advanced text suitable for graduate students and based around two topics-the structure of additive processes … and the basic theory of Markov processes, which generalises Markov chains to continuous time and fairly general state spaces. … a nice introduction to Markov processes making extensive use of semigroup techniques. … The book concludes with a number of exercises accompanied by worked solutions." (David Applebaum, The Mathematical Gazette, March, 2005)
Caracteristici
Very gentle and detailed introduction to the theory of stochastic processes with emphasis on Levy processes and Markov processes Exercises (about 70) are accompanied by complete solutions Proof by Ito himself of the celebrated Levy-Ito decomposition of paths of Levy processes Carefully edited and footnoted, while retaining the lecturing style of the original notes Includes supplementary material: sn.pub/extras