000 02295nam a22003978i 4500
001 CR9780511805141
003 UkCbUP
005 20200124160218.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 101021s2000||||enk o ||1 0|eng|d
020 _a9780511805141 (ebook)
020 _z9780521775939 (paperback)
040 _aUkCbUP
_beng
_erda
_cUkCbUP
050 0 0 _aQA274.7
_b.W54 2000
082 0 0 _a519.2/83
_221
100 1 _aRogers, L. C. G.,
_eauthor.
245 1 0 _aDiffusions, markov processes and martingales.
_nVolume 2,
_pItô Calculus /
_cL. C. G. Rogers, David Williams.
246 3 _aDiffusions, Markov Processes & Martingales
250 _aSecond edition.
264 1 _aCambridge :
_bCambridge University Press,
_c2000.
300 _a1 online resource (xiii, 480 pages) :
_bdigital, PDF file(s).
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aCambridge mathematical library
500 _aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
520 _aThis 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.
650 0 _aDiffusion processes.
650 0 _aMarkov processes.
650 0 _aMartingales (Mathematics)
700 1 _aWilliams, David,
_eauthor.
776 0 8 _iPrint version:
_z9780521775939
830 0 _aCambridge mathematical library.
856 4 0 _uhttps://doi.org/10.1017/CBO9780511805141
999 _c516502
_d516500