Diffusions, Markov Processes, and Martingales: Volume 1, Foundations
2nd Revised edition
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Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by L. C. G. Rogers
Book DescriptionNow 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 DetailsISBN: 9780521775946
(228mm x 152mm x 21mm)
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, 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, Paperback (September 2000)» View all books by L. C. G. Rogers
This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.
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