Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus by L C G Rogers
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.
'I welcome the paperback edition version of this masterfully written text' Paul Embrechts, JASA
'The monograph as a whole is warmly recommended to post-PhD students of probability and will be welcomed as a good and reliable reference.' EMS
'… will be read with pleasure and advantage by experts in the field and its applications, as well as by those probabilists and others who wish to learn the subject … an exciting and enjoyable introduction to the rich ideas of the Itô calculus … there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today
'The monograph as a whole is warmly recommended to post-PhD students of probability and will be welcomed as a good and reliable reference.' EMS
'… will be read with pleasure and advantage by experts in the field and its applications, as well as by those probabilists and others who wish to learn the subject … an exciting and enjoyable introduction to the rich ideas of the Itô calculus … there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today
| SKU | Unavailable |
| ISBN 13 | 9780521775939 |
| ISBN 10 | 0521775930 |
| Title | Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus |
| Author | L C G Rogers |
| Series | Cambridge Mathematical Library |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Cambridge University Press |
| Year published | 2000-09-07 |
| Number of pages | 496 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |