Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed (Q2266528): Difference between revisions

This excellent introductory course to the modern theory of Markov processes discusses the general properties of generators of the semigroups of linear operators defined by the transition probabilities. Strong Markov processes and their generators in the restricted sense are also considered. General theory is illustrated by considering the multi- dimensional Brownian motion and additive processes. The main results of the classical potential theory are deduced using properties of the Brownian motion. A stochastic calculus with respect to the Brownian motion is developed and diffusion processes are constructed as solutions of stochastic differential equations. The course is finished by Feller's theory of one-dimensional diffusions.