TY  - BOOK
AU  - Rogers,L.C.G.
AU  - Williams,David
TI  - Diffusions, markov processes and martingales
T2  - Cambridge mathematical library
SN  - 9780511805141 (ebook)
AV  - QA274.7 .W54 2000
U1  - 519.2/83 21
PY  - 2000///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Diffusion processes
KW  - Markov processes
KW  - Martingales (Mathematics)
N1  - Title from publisher's bibliographic system (viewed on 05 Oct 2015)
N2  - 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
UR  - https://doi.org/10.1017/CBO9780511805141
ER  -