Stochastic Processes: Lectures given at Aarhus University

by Kiyoshi Itō, Ole E. Barndorff-Nielson (Editor), Ken-iti Sato (Editor)

This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Levy-Ito decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.

248 pages, Hardcover

First published April 28, 2004

About the author

Professor Kiyosi Itô is one of the most distinguished probability theorists in the world. He is the creator of a branch of mathematics that deals with stochastics and probabilities, now known as Itō calculus in his honour, and one of its main tools is the stochastic integral, also known as Itō integral. This calculus plays a fundamental role in modern financial mathematics.

Itō died in Kyoto, Japan, in 2008. He was 93 years old.