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Diffusions, markov processes and martingales

By: L. C. G. RogersContributor(s): David WilliamsMaterial type: Text

TextSeries: Cambridge Mathematical LibraryPublication details: U.K.: Cambridge University Press, [c2000]Description: 386 pISBN: 9780521775946Subject(s): MathematicsLOC classification: QA274.7

Contents:

CHAPTER I - BROWNIAN MOTION CHAPTER II - SOME CLASSICAL THEORY CHAPTER III - MARKOV PROCESSES

Summary: 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. --- provided by publisher

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Item type	Current library	Collection	Shelving location	Call number	Status	Notes	Date due	Barcode	Item holds
Book	ICTS	Mathematic	Rack No 5	QA274.7 (Browse shelf (Opens below))	Available	Billno:IN 00241; Billdate: 2018-04-11		01097

Total holds: 0

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Previous	QA274.45 The geometry of random fields	QA274.5 Continuous martingales and brownian motion : third edition	QA274.7 An introduction to markov process	QA274.7 Diffusions, markov processes and martingales	QA274.7 Diffusions, markov processes and martingales : Vol. 2	QA274.7 Markov chains and mixing times	QA 274.7 Fluctuations in markov processes : time symmetry and martingale approximation	Next

CHAPTER I - BROWNIAN MOTION
CHAPTER II - SOME CLASSICAL THEORY
CHAPTER III - MARKOV PROCESSES

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. --- provided by publisher

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