Diffusions, markov processes and martingales: Volume 2: Itô Calculus
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 gene...
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| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2000
|
| Edition: | second edition |
| Series: | Cambridge mathematical library
|
| Subjects: | |
| Online Access: | DE-12 DE-92 Volltext |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xiii, 480 pages) |
| ISBN: | 9780511805141 |
| DOI: | 10.1017/CBO9780511805141 |
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| institution | BVB |
| isbn | 9780511805141 |
| language | English |
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| spelling | Rogers, Leonard C. G. Verfasser (DE-588)13011359X aut Diffusions, markov processes and martingales Volume 2: Itô Calculus L. C. G. Rogers, School of Mathematical Sciences,University of Bath and David Williams, Department of Mathematics, University of Wales, Swansea Diffusions, Markov processes and martingales second edition Cambridge Cambridge University Press 2000 1 online resource (xiii, 480 pages) txt rdacontent c rdamedia cr rdacarrier Cambridge mathematical library Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Diffusion processes Markov processes Martingales (Mathematics) Williams, David 1938- (DE-588)139651608 aut Erscheint auch als Druck-Ausgabe 978-0-521-77593-9 Erscheint auch als Druckausgabe 978-0-521-77593-9 https://doi.org/10.1017/CBO9780511805141 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Rogers, Leonard C. G. Williams, David 1938- Diffusions, markov processes and martingales Volume 2: Itô Calculus Diffusion processes Markov processes Martingales (Mathematics) |
| title | Diffusions, markov processes and martingales Volume 2: Itô Calculus |
| title_alt | Diffusions, Markov processes and martingales |
| title_auth | Diffusions, markov processes and martingales Volume 2: Itô Calculus |
| title_exact_search | Diffusions, markov processes and martingales Volume 2: Itô Calculus |
| title_full | Diffusions, markov processes and martingales Volume 2: Itô Calculus L. C. G. Rogers, School of Mathematical Sciences,University of Bath and David Williams, Department of Mathematics, University of Wales, Swansea |
| title_fullStr | Diffusions, markov processes and martingales Volume 2: Itô Calculus L. C. G. Rogers, School of Mathematical Sciences,University of Bath and David Williams, Department of Mathematics, University of Wales, Swansea |
| title_full_unstemmed | Diffusions, markov processes and martingales Volume 2: Itô Calculus L. C. G. Rogers, School of Mathematical Sciences,University of Bath and David Williams, Department of Mathematics, University of Wales, Swansea |
| title_short | Diffusions, markov processes and martingales |
| title_sort | diffusions markov processes and martingales volume 2 ito calculus |
| title_sub | Volume 2: Itô Calculus |
| topic | Diffusion processes Markov processes Martingales (Mathematics) |
| topic_facet | Diffusion processes Markov processes Martingales (Mathematics) |
| url | https://doi.org/10.1017/CBO9780511805141 |
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