Diffusions, Markov Processes and Martingales Volume 2: Ito Calculus (Wiley Series in Probability and Mathematics Statistics)

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

ISBN 10: 0471914827 / ISBN 13: 9780471914822

Published by John Wiley & Sons Inc, 1988

First edition, first printing, 490 pp., Hardcover, fine in a very good dust jacket. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country. Seller Inventory # ZB1334601

Synopsis:

The main themes of this book are stochastic integrals, stochastic differential equations, excursion theory and 'the general theory of processes'. Much effort has gone into the attempt to make these subjects accessible by providing many concrete examples illustrating techniques of calculation, and by treating all topics (including stochastic differential geometry) from the ground up, starting from the simplest case. In particular, the theory is developed first for the 'continuous' case, by far the most important in practice, while the general theory (and its applications) forms the last chapter. Many of the examples and many of the proofs are new and some important methods of calculation appear for the first time in a book. Stochastic differential equations are widely used in practice: in electrical engineering; in controlling systems subject to random 'noise'; in modelling economic systems; and in several branches of physics and chemistry. They are also used to great effect in other branches of mathematics, such as the theory of partial differential equations, differential geometry and complex analysis. Researchers and practitioners in all these fields will find it a useful and highly readable reference work.

Bibliographic Details

Title: Diffusions, Markov Processes and Martingales...
Publisher: John Wiley & Sons Inc
Publication Date: 1988
Binding: Hardcover
Condition: Fine