Lectures on the Theory of Stochastic Processes / / Anatolij V. Skorochod.

• Superior document: Title is part of eBook package: De Gruyter DGBA Mathematics - 1990 - 1999
• VerfasserIn: Skorochod, Anatolij V.,
• Place / Publishing House: Berlin ;, Boston : : De Gruyter, , [2019]; ©1996
• Year of Publication: 2019
• Edition: Reprint 2018
• Language: English
• Physical Description: 1 online resource (VI, 183 p.) :; Num. figs.
• Other title: Frontmatter --; Contents --; Preface --; Lecture 1. Stochastic processes. definitions. examples --; Lecture 2. The kolmogorov consistency theorem. classification of processes --; Lecture 3. Random walks. recurrence. renewal theorem --; Lecture 4. Martingales. inequalities for martingales --; Lecture 5. Theorems on the limit of a martingale --; Lecture 6. Stationary sequences. ergodic theorem --; Lecture 7. Ergodic theorem. metric transitivity --; Lecture 8. Regularization of a process. continuity --; Lecture 9. Processes without discontinuities of the second kind --; Lecture 10. Continuity of processes with independent increments. martingales with continuous time --; Lecture 11. Measurable processes --; Lecture 12. Stopping times. associated tr-algebras --; Lecture 13. Completely measurable processes --; Lecture 14. L2-theory --; Lecture 15. Stochastic integrals --; Lecture 16. Stationary processes. spectral representations --; Lecture 17. Stationary sequences. regularity and singularity --; Lecture 18. The prediction of a stationary sequence --; Lecture 19. Markov processes --; Lecture 20. Homogeneous markov processes and associated semigroups --; Lecture 21. Homogeneous purely discontinuous processes. conditions for their regularity --; Lecture 22. Processes with adenumerable set of states --; Lecture 23. Simple birth and death processes --; Lecture 24. Branching processes with particles of only one kind --; Lecture 25. Homogeneous processes and strongly continuous semigroups. resolvent operator and generator --; Lecture 26. The hille-iosida theorem --; Lecture 27. Processes with independent increments. representation of the discontinuous part --; Lecture 28. General representation of a stochastically continuous process with independent increments --; Lecture 29. Diffusion processes --; Lecture 30. Stochastic integrals --; Lecture 31. Existence, uniqueness, and properties of solutions of stochastic differential equations --; Lecture 32. Itô's formula with some corollaries --; Bibliography
• Format: Mode of access: Internet via World Wide Web.
• ISBN: 9783110618167; 9783110637199
• DOI: 10.1515/9783110618167
• Access: restricted access
• Hierarchical level: Monograph
• Statement of Responsibility: Anatolij V. Skorochod.