Diffusions, markov processes and martingales.
Rogers, L. C. G.,
Diffusions, markov processes and martingales. Volume 2, Itô Calculus / Diffusions, Markov Processes & Martingales L. C. G. Rogers, David Williams. - Second edition. - Cambridge : Cambridge University Press, 2000. - 1 online resource (xiii, 480 pages) : digital, PDF file(s). - Cambridge mathematical library . - Cambridge mathematical library. .
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
9780511805141 (ebook)
Diffusion processes.
Markov processes.
Martingales (Mathematics)
QA274.7 / .W54 2000
519.2/83
Diffusions, markov processes and martingales. Volume 2, Itô Calculus / Diffusions, Markov Processes & Martingales L. C. G. Rogers, David Williams. - Second edition. - Cambridge : Cambridge University Press, 2000. - 1 online resource (xiii, 480 pages) : digital, PDF file(s). - Cambridge mathematical library . - Cambridge mathematical library. .
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
9780511805141 (ebook)
Diffusion processes.
Markov processes.
Martingales (Mathematics)
QA274.7 / .W54 2000
519.2/83