ENGLISH

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

By L. C. G. Rogers , David Williams

Book information

Publisher
Cambridge University Press
Year
2000
ISBN
0521775930, 9780521775939
LCC
QA274.7 .W54 2000
Language
english
Format
DJVU
Filesize
19 MB (20079989 bytes)
Series
Cambridge Mathematical Library
Edition
2
Pages
495\495
Time added
2014-10-05 02:30:00

Description

The second volume concentrates on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. These subjects are made accessible in the many concrete examples that illustrate techniques of calculation, and in the treatment of all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appear for the first time in this book.

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