Markov Processes

  • Robert M. Blumenthal
Part of the Probability and Its Applications book series (PA)


We will assume the reader is familiar with the concepts of a probability triple (Ω, F, P) and conditional expectation relative to a sub σ-algebra G of F. If (E,ε) is a measurable space and {X t ;tϵT} is an indexed family of functions from Ω to E such that X t -1 (AF for each Aϵε we say that {X t ;tϵT} is a stochastic process (defined over Ω) with state space E. We call Ω the sample space.


Brownian Motion Markov Process Transition Function Standard Process Markov Property 


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Copyright information

© Birkhäuser Boston 1992

Authors and Affiliations

  • Robert M. Blumenthal
    • 1
  1. 1.Department of MathematicsUniversity of WashingtonSeattleUSA

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