| 000 -LEADER |
|---|
| fixed length control field |
02445nam a2200241Ia 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20241121162639.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
170804s2000 xx 000 0 und d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9780521775939 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
ICTS-TIFR |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA274.7 |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
L. C. G. Rogers |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Diffusions, markov processes and martingales |
| Remainder of title |
: Vol. 2 |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
2nd ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Name of publisher, distributor, etc. |
Cambridge University Press, |
| Date of publication, distribution, etc. |
[c2000] |
| Place of publication, distribution, etc. |
U.K.: |
| 300 ## - Physical Description |
|---|
| Pages: |
480 p. |
| 490 ## - SERIES STATEMENT |
|---|
| Series statement |
Cambridge Mathematical Library |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
4. Introduction to Ito calculus<br/>4.1. Some motivating remarks<br/>4.2. Some fundamental ideas: previsible processes, localization, etc.<br/>4.3. The elementary theory of finite-variation processes<br/>4.4. Stochastic integrals: the L2 theory<br/>4.5. Stochastic integrals with respect to continuous semimartingales<br/>4.6. Applications of Ito's formula<br/><br/>5. Stochastic differential equations and diffusions<br/>5.1. Introduction<br/>5.2. Pathwise uniqueness, strong SDEs, flows<br/>5.3. Weak solutions, uniqueness in law<br/>5.4. Martingale problems, Markov property<br/>5.5. Overture to stochastic differential geometry<br/>5.6. One-dimensional SDEs<br/>5.7. One-dimensional diffusions<br/><br/>6. The general theory<br/>6.1. Orientation<br/>6.2. Debut and section theorems<br/>6.3. Optional projections and filtering<br/>6.4. Characterising previsible times<br/>6.5. Dual previsible projections<br/>6.6. The Meyer decomposition theorem<br/>6.7. Stochastic integration: the general case<br/>6.8. Ito excursion theory |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Mathematics |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
David Williams |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Koha item type |
Book |
