ENGLISH

Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus, Second Edition (Cambridge Mathematical Library)

By L. C. G. Rogers , David Williams

Book information

Publisher
Cambridge University Press
Year
2000
ISBN
0521775930, 9780521775939
Language
english
Format
DJVU
Filesize
18 MB (18677845 bytes)
Edition
2
Pages
495\495
Time added
2012-02-04 16:00:00

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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