The Theory of Stochastic Processes

Basic Notions of Probability Theory.- Random Sequences.- Random Functions.- Linear Theory of Random Processes.- Probability Measures on Functional Spaces.- Limit Theorems for Random Processes.- Absolute Continuity of Measures Associated with Random Processes.- Measurable Functions on Hilbert Spaces.- Historical and Bibliographical Remarks.- Bibliography.- Corrections to the First Printings of Volumes I and II.- Subject Index.

Iosif Ilyich Gikhman was born on the 26th of May 1918 in the city of Uman, Ukraine. He studied in Kiev, graduating in 1939, then remained there to teach and do research under the supervision of N. Bogolyubov, defending a "candidate" thesis on the influence of random processes on dynamical systems in 1942 and a doctoral dissertation on Markov processes and mathematical statistics in 1955.
I.I. Gikhman is one of the founders of the theory of stochastic differential equations and also contributed significantly to mathematical statistics, limit theorems, multidimensional martingales, and stochastic control. He died in 1985, in Donetsk.

Anatoli Vladimirovich Skorokhod was born on September 10th, 1930 in the city Nikopol, Ukraine. He graduated from Kiev University in 1953, after which his graduate studies at Moscow University, were directed by E.B. Dynkin.

From 1956 to 1964 Anatoli Skorokhod was a professor of Kiev university. Threafter he worked at the Institute of Mathematics of the Ukrainian Academy of Science, but he has also, since 1993, been professor of Statistics and Probability at Michigan State University.

Skorokhod was elected to the Ukrainian Academy of Sciences in 1985 and became a Fellow of American Academy of Arts and Sciences in 2000.

His mathematical research interests are the theory of stochastic processes, stochastic differential equations, Markov processes, randomly perturbed dynamical systems.