Diffusions, Markov Processes and Martingales - Couverture souple

Livre 11 sur 27: Cambridge Mathematical Library

Rogers, L. C. G.

 
9780521775939: Diffusions, Markov Processes and Martingales
Couverture souple
ISBN 10 : 0521775930 ISBN 13 : 9780521775939
Editeur : Cambridge University Press, 2000

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Revue de presse

'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

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2000
Langue
anglais
ISBN 10 
0521775930
ISBN 13 
9780521775939
Reliure
Broché
Numéro d'édition
2
Nombre de pages
496
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

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