Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus: 02 (Cambridge Mathematical Library) - Softcover

Rogers, L. C. G.

 
9780521775939: Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus: 02 (Cambridge Mathematical Library)
Softcover
ISBN 10: 0521775930 ISBN 13: 9780521775939
Publisher: Cambridge University Press, 2000

Synopsis

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

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

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

Book Description

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.

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

Publisher
Cambridge University Press
Publication date
2000
Language
English
ISBN 10 
0521775930
ISBN 13 
9780521775939
Binding
Paperback
Edition number
2
Number of pages
496