Diffusions, Markov Processes and Martingales: Volume 2, It? Calculus by David Williams, L. C. G. Rogers

Diffusions, Markov Processes and Martingales: Volume 2, It? Calculus



Download Diffusions, Markov Processes and Martingales: Volume 2, It? Calculus




Diffusions, Markov Processes and Martingales: Volume 2, It? Calculus David Williams, L. C. G. Rogers
Language: English
Page: 489
Format: djvu
ISBN: 0521775930, 9780521775939
Publisher: Cambridge University Press

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.

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