Stochastic Processes, Softcover reprint of hardcover 1st ed. 2004
Lectures given at Aarhus University

This accessible introduction to the theory of stochastic processes emphasizes Levy processes and Markov processes. It gives a thorough treatment of the decomposition of paths of processes with independent increments (the Lévy-Itô decomposition). It also contains a detailed treatment of time-homogeneous Markov processes from the viewpoint of probability measures on path space. In addition, 70 exercises and their complete solutions are included.

Very gentle and detailed introduction to the theory of stochastic processes with emphasis on Levy processes and Markov processes

Exercises (about 70) are accompanied by complete solutions

Proof by Ito himself of the celebrated Levy-Ito decomposition of paths of Levy processes

Carefully edited and footnoted, while retaining the lecturing style of the original notes

Includes supplementary material: sn.pub/extras