Diffusions, Markov Processes and Martingales: Volume 2, Ità Calculus (Cambridge Mathematical Library)

Williams, David,Rogers, L. C. G.

ISBN 10: 0521775930 / ISBN 13: 9780521775939

Published by Cambridge University Press, 2000

About this Item

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Bibliographic Details

• Title: Diffusions, Markov Processes and Martingales: Volume 2, Ità Calculus (Cambridge Mathematical Library)
• Publisher: Cambridge University Press
• Publication Date: 2000
• Language: English
• ISBN 10: 0521775930
• ISBN 13: 9780521775939
• Binding: Paperback
• Edition: 2nd Edition
• Condition: Good

About this title

Synopsis

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

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