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Topics in stochastic processes

  • Book
  • © 2004

Overview

Authors:
  1. Jerzy Zabczyk

    1. Library Exchange, Instytut Matematyczny Polskiej Akademii Nauk, Warszawa 1, Poland

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Part of the book series: Publications of the Scuola Normale Superiore (PSNS)

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Keywords

  • stochastic processes

About this book

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.

Authors and Affiliations

  • Library Exchange, Instytut Matematyczny Polskiej Akademii Nauk, Warszawa 1, Poland

    Jerzy Zabczyk

Bibliographic Information

  • Book Title: Topics in stochastic processes

  • Authors: Jerzy Zabczyk

  • Series Title: Publications of the Scuola Normale Superiore

  • Publisher: Edizioni della Normale Pisa

  • Copyright Information: Edizioni della Normale 2004

  • Softcover ISBN: 978-88-7642-131-0Published: 01 October 2004

  • Series ISSN: 2239-1460

  • Series E-ISSN: 2532-1668

  • Edition Number: 1

  • Number of Pages: 126

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