Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by L. C. G. Rogers
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Diffusions, Markov Processes, and Martingales: Volume 1, Foundations
By L. C. G. Rogers

Diffusions, Markov Processes, and Martingales: Volume 1, Foundations

2nd Revised edition

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Format: Paperback

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Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by L. C. G. Rogers

Book Description

Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to convey its real meaning and fascination. The opening, heuristic chapter does just this, and it is followed by a comprehensive and self-contained account of the foundations of theory of stochastic processes. Chapter 3 is a lively and readable account of the theory of Markov processes. 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.

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Book Details

ISBN: 9780521775946
ISBN-10: 0521775949
Format: Paperback
(228mm x 152mm x 21mm)
Pages: 410
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 13-Apr-2000
Country of Publication: United Kingdom

Books By Author L. C. G. Rogers

Numerical Methods in Finance by L. C. G. Rogers Numerical Methods in Finance, Paperback (April 2008)

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus by L. C. G. Rogers Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus, Paperback (September 2000)

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

» View all books by L. C. G. Rogers

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