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Essentials of Stochastic Processes
Kiyosi Itô, Kyoto University, Japan
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Translations of Mathematical Monographs
2006; 171 pp; hardcover
Volume: 231
ISBN-10: 0-8218-3898-9
ISBN-13: 978-0-8218-3898-3
List Price: US$71
Member Price: US$56.80
Order Code: MMONO/231
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This book is an English translation of Kiyosi Itô's monograph published in Japanese in 1957. It gives a unified and comprehensive account of additive processes (or Lévy 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 Itô is famous throughout the world for his work on stochastic integrals (including the Itô 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.

Readership

Graduate students and research mathematicians interested in stochastic processes.

Reviews

"Written by one of the leading experts and founding fathers of the field, this volume presents to the reader lucid explanations of the fundamental concepts and basic results in each of the three major areas of the theory of stochastic processes."

-- Zentralblatt MATH

"Because o fits conciseness, clarity, and carefully chosen set of bibliographic references (added as a Postscript) it seems the ideal support for a course on stochastic processes."

-- Mathematical Reviews

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