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

Language: English

Published by Cambridge University Press, GB, 2000

0521775930 / 9780521775939

Series: Book 11 of 27 - Cambridge Mathematical Library

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This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on 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 by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. 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.

Seller Inventory # LU-9780521775939

Title
Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus
Author
L. C. G. Rogers, David Williams
Publisher
Cambridge University Press, GB
Publication year
2000
Condition
New
Binding
Paperback
Language
English
ISBN 10
0521775930
ISBN 13
9780521775939
Edition
2nd.
Item weight
660 grams
Dimensions
5.99 x 1.12 x 9.02 inches
Series
Book 11 of 27: Cambridge Mathematical Library

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