Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed

MaRDI QIDQ2266528zbMATH OpenFDO

Authors Kiyosi Itô

Publication date 1984

Published in Lectures on Mathematics and Physics. Mathematics. Tata Institute of Fundamental Research (Search for Journal in Brave)

zbMATH Keywords

multi-dimensional Brownian motionStrong Markov processes

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Markov processes (60Jxx)

Review text

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.

Recommendations

• Continuous time Markov processes. An introduction.
• Markov processes, semigroups and generators.
• Stochastic processes.
• scientific article; zbMATH DE number 2063864
• Stochastic processes. Translated from the Russian

Cited in

(21)

• First hitting time for Bessel processes
• On the spectrum and Martin boundary of homogeneous spaces
• On the moving plane method for nonlocal problems in bounded domains
• The Poisson kernel of positively curved manifolds
• Multiplicative functionals of Lévy processes
• Fractional Brownian motion via fractional Laplacian
• Multiplicity results for fractional systems crossing high eigenvalues
• Nonlinear stochastic position and attitude filter on the special Euclidean group 3
• Optimal filtering for correlated noise
• scientific article; zbMATH DE number 3934160 (Why is no real title available?)
• scientific article; zbMATH DE number 4105997 (Why is no real title available?)
• scientific article; zbMATH DE number 2017772 (Why is no real title available?)
• A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
• Continuous time Markov processes. An introduction.
• Stationary Measures for the Flow of a Linear Differential Equation Driven by White Noise
• A convolution equation and hitting probabilities of single points for processes with stationary independent increments
• On Two Dimensional Markov Processes with Branching Property
• Local Behaviour of Solutions of Stochastic Integral Equations
• Note on the asymptotic normality of a stochastic process with independent increments
• A partial differential equation with the white noise as a coefficient
• Stochastic generalized porous media equations over \(\sigma\)-finite measure spaces with non-continuous diffusivity function

This page was built for publication: Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2266528)