Stochastic Processes: Lectures given at Aarhus University [9783540204824]

Overview

The volume Stochastic Processes by K. Itö was published as No. 16 of Lecture Notes Series from Mathematics Institute, Aarhus University in August, 1969, based on Lectures given at that Institute during the academie year 1968­ 1969. The volume was as thick as 3.5 cm., mimeographed from typewritten manuscript and has been out of print for many years. Since its appearance, it has served, for those abIe to obtain one of the relatively few copies available, as a highly readable introduetion to basic parts of the theories of additive processes (processes with independent increments) and of Markov processes. It contains, in particular, a clear and detailed exposition of the Lévy-It ö decomposition of additive processes. Encouraged by Professor It ó we have edited the volume in the present book form, amending the text in a number of places and attaching many footnotes. We have also prepared an index. Chapter 0 is for preliminaries. Here centralized sums of independent ran­ dom variables are treated using the dispersion as a main tooI. Lévy's form of characteristic functions of infinitely divisible distributions and basic proper­ ties of martingales are given. Chapter 1 is analysis of additive processes. A fundamental structure the­ orem describes the decomposition of sample functions of additive processes, known today as the Lévy-Itó decomposition. This is thoroughly treated, as­ suming no continuity property in time, in a form close to the original 1942 paper of Itó, which gave rigorous expression to Lévy's intuitive understanding of path behavior.

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