Markov Processes from K. Ito''s Perspective (AM-155).

Markov Processes from K. Ito''s Perspective (AM-155).

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Bibliographic Details
Author / Creator:	Stroock, Daniel W.
Imprint:	Princeton : Princeton University Press, 2003.
Description:	1 online resource (289 pages)
Language:	English
Series:	Annals of Mathematics Studies Annals of mathematics studies.
Subject:	Markov processes. Stochastic integrals. Markov processes. Stochastic integrals. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11276766

Hidden Bibliographic Details
ISBN:	9781400835577 1400835577 1322063230 9781322063232 0691115435 9780691115436
Digital file characteristics:	text file PDF
Notes:	In English. Print version record.
Summary:	Kiyosi Itô's greatest contribution to probability theory may be his introduction of stochastic differential equations to explain the Kolmogorov-Feller theory of Markov processes. Starting with the geometric ideas that guided him, this book gives an account of Itô's program. The modern theory of Markov processes was initiated by A.N. Kolmogorov. However, Kolmogorov's approach was too analytic to reveal the probabilistic foundations on which it rests. In particular, it hides the central role played by the simplest Markov processes: those with independent, identically distributed increments. To remedy this defect, Itô interpreted Kolmogorov's famous forward equation as an equation that describes the integral curve of a vector field on the space of probability measures. Thus, in order to show how Itô's thinking leads to his theory of stochastic integral equations, Stroock begins with an account of integral curves on the space of probability measures and then arrives at stochastic integral equations when he moves to a pathspace setting. In the first half of the book, everything is done in the context of general independent increment processes and without explicit use of Itô's stochastic integral calculus. In the second half, the author provides a systematic development of Itô's theory of stochastic integration: first for Brownian motion and then for continuous martingales. The final chapter presents Stratonovich's variation on Itô's theme and ends with an application to the characterization of the paths on which a diffusion is supported. The book should be accessible to readers who have mastered the essentials of modern probability theory and should provide such readers with a reasonably thorough introduction to continuous-time, stochastic processes.
Other form:	Print version: Stroock, Daniel W. Markov Processes from K. Ito''s Perspective (AM-155). Princeton : Princeton University Press, ©2003 9780691115436
Standard no.:	10.1515/9781400835577

Table of Contents:

Frontmatter
Contents
Preface
Chapter 1. Finite State Space, a Trial Run
Chapter 2. Moving to Euclidean Space, the Real Thing
Chapter 3. Itô's Approach in the Euclidean Setting
Chapter 4. Further Considerations
Chapter 5. Itô's Theory of Stochastic Integration
Chapter 6. Applications of Stochastic Integration to Brownian Motion
Chapter 7. The Kunita-Watanabe Extension
Chapter 8. Stratonovich's Theory
Notation
References
Index.