Diffusions, Markov Processes and Martingales (Cambridge Mathematical Library) - Softcover

Rogers, L. C. G.

  • 4.29 out of 5 stars
    14 ratings by Goodreads
 
9780521775939: Diffusions, Markov Processes and Martingales (Cambridge Mathematical Library)
Softcover
ISBN 10: 0521775930 ISBN 13: 9780521775939
Publisher: Cambridge University Press, 2000

Synopsis

The second volume concentrates on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. These subjects are made accessible in the many concrete examples that illustrate techniques of calculation, and in the treatment of all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appear for the first time in this book.

"synopsis" may belong to another edition of this title.

Book Description

Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. This volume follows on from the first, covering 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. 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.

Review

'I welcome the paperback edition version of this masterfully written text.' Paul Embrechts, JASA

'The monograph as a whole is warmly recommended to post-PhD students of probability and will be welcomed as a good and reliable reference.' EMS

'... will be read with pleasure and advantage by experts in the field and its applications, as well as by those probabilists and others who wish to learn the subject ... an exciting and enjoyable introduction to the rich ideas of the Itô calculus ... there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today

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Publisher
Cambridge University Press
Publication date
2000
Language
English
ISBN 10 
0521775930
ISBN 13 
9780521775939
Binding
Paperback
Edition number
2
Number of pages
496
Rating
  • 4.29 out of 5 stars
    14 ratings by Goodreads