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Introduction to the theory of random processes

Author: N V Krylov
Publisher: Providence, R.I. : American Mathematical Society, ©2002.
Series: Graduate studies in mathematics, v. 43.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Discusses the theory of stochastic processes. This book presents basics of discrete time martingales. It includes such topics as Wiener process, stationary processes, infinitely divisible processes,  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: N V Krylov
ISBN: 0821829858 9780821829851
OCLC Number: 48851318
Description: xii, 230 pages ; 26 cm.
Contents: Ch. 1. Generalities. 1. Some selected topics from probability theory. 2. Some facts from measure theory on Polish spaces. 3. The notion of random process. 4. Continuous random processes --
Ch. 2. The Wiener Process. 1. Brownian motion and the Wiener process. 2. Some properties of the Wiener process. 3. Integration against random orthogonal measures. 4. The Wiener process on [0, [infinity]). 5. Markov and strong Markov properties of the Wiener process. 6. Examples of applying the strong Markov property. 7. Ito stochastic integral. 8. The structure of Ito integrable functions --
Ch. 3. Martingales. 1. Conditional expectations. 2. Discrete time martingales. 3. Properties of martingales. 4. Limit theorems for martingales.
Series Title: Graduate studies in mathematics, v. 43.
Responsibility: N.V. Krylov.

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