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Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus

Paperback / softback

Main Details

Title Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus
Authors and Contributors      By (author) L. C. G. Rogers
By (author) David Williams
SeriesCambridge Mathematical Library
Physical Properties
Format:Paperback / softback
Pages:496
Dimensions(mm): Height 226,Width 152
ISBN/Barcode 9780521775939
ClassificationsDewey:519.233
Audience
Professional & Vocational
Edition 2nd Revised edition

Publishing Details

Publisher Cambridge University Press
Imprint Cambridge University Press
Publication Date 7 September 2000
Publication Country United Kingdom

Description

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.

Reviews

'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 Ito calculus ... there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today