scientific article; zbMATH DE number 2134184
Donsker's invariance principleGaussian processesLévy processLévy-Ciesielski constructionMarkov processMartingalesPoisson processProkhorov's theoremStochastic integrationTightness of measuresWeak convergenceWiener process
Measures and integration on abstract linear spaces (46G12) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) General theory of stochastic processes (60G07) Gaussian processes (60G15) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)
The book is based on lectures given by the author in 1999 and 2000 at Scuola Normale Superiore. The main topic of the notes is the construction of stochastic processes, and several different approaches to this topic are presented. The book consists of 11 chapters. The `Introduction' gives a motivation of the subject and some historical notes, the second chapter provides measure theoretic preliminaries. In the third chapter, `Kolmogorov's existence theorem', this theorem is proved, based on results by Carathéodory and Ulam, and applied to construct several classes of stochastic processes. The fourth chapter is devoted to Doob's regularisation theorem, which allows proving the existence of a càdlàg version of a stochastic process. It is proved and applied to establish the existence of càdlàg versions of Lévy and Feller processes. In Chapter 5, `Wiener's approach', the author presents an explicit construction of the Wiener process, the so-called Lévy-Ciesielski construction. An explicit construction of a Poisson process is also given. The next two chapters investigate Lévy processes. First analytic approaches to Lévy processes are presented and, in particular, a Lévy-Khinchin formula is established. Then an explicit construction of an arbitrary Lévy process in terms of Poissonian measures is given. Chapters 8 and 9 treat stochastic integration. First the connection between Markov processes and stochastic equations is investigated. Stochastic integrals with respect to Wiener processes and Poisson measures are introduced and Itô's construction of Markov processes as solutions of stochastic equations with Wiener and Poissonian stochastic terms is presented. The following chapter considers generalisations of these results to stochastic integration in infinite dimensions. In particular, stochastic integration with respect to martingales in this setting is discussed. The subject of Chapters 10 and 11 is the theory of weak convergence and tightness of measures in metric spaces. Prokhorov's theorem, the factorisation method, Donsker's invariance principle and Kolmogorov's continuity criterion are adressed. The text is well-written and self-contained with elementary measure theory and functional analysis as essential mathematical prerequisites.
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