Title: Diffusions, Markov Processes and Martingales: Volume 2, Ito 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 It� calculus ... there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today

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