Paperback. 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. This volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

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Dati bibliografici

Titolo: Diffusions, Markov Processes and Martingales: Volume 2, It Calculus (Paperback)
Editore: Cambridge University Press, Cambridge
Data di pubblicazione: 2000
Lingua: Inglese
ISBN 10: 0521775930
ISBN 13: 9780521775939
Rilegatura: Paperback
Edizione: seconda edizione
Condizione: new

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Riassunto

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

Recensione

'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 It� calculus ... there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today

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