Diffusions, Markov Processes and Martingales (Cambridge Mathematical Library)

Rogers, L. C. G.

ISBN 10: 0521775930 / ISBN 13: 9780521775939

Published by Cambridge University Press, 2000

About this Item

Seller Inventory # E-9780521775939-2-2

Bibliographic Details

• Title: Diffusions, Markov Processes and Martingales (Cambridge Mathematical Library)
• Publisher: Cambridge University Press
• Publication Date: 2000
• Language: English
• ISBN 10: 0521775930
• ISBN 13: 9780521775939
• Binding: Soft cover
• Edition: 2nd Edition
• Condition: Very good

About this title

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.

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.