Diffusions, Markov Processes, and Martingales

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Diffusions, Markov Processes, and...

Diffusions, Markov Processes, and Martingales

Name: Diffusions, Markov Processes, and Martingales
ISBN: 9780521775939

L.C.G Rogers and David Williams

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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.

カテゴリー:

Mathematics

巻:

2 Ito Calculus

年:

2000

出版社:

Cambridge University Press

言語:

english

ページ:

469