Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus (Revised)

Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus (Revised)

Rogers, L. C. G.

     

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Издательство: Cambridge University Press
Дата выхода: сентябрь 2000
ISBN: 9780521775939
Объём: 494 страниц
Масса: 762 г
Размеры(В x Ш x Т), см: 23 x 16 x 3

Now available in paperback, this celebrated book remains a key systematic guide to a large part of the modern theory of Probability. The authors not only present the subject of Brownian motion as a dry part of mathematical analysis, but convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively presentation of the theory of Markov processes. Together with its companion volume, this book equips graduate students for research into a subject of great intrinsic interest and wide applications.