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Diffusions, Markov Processes, and Martingales

Diffusions, Markov Processes, and Martingales

Volume 1. Foundations

2nd Edition

$75.00

Part of Cambridge Mathematical Library

  • Date Published: May 2000
  • availability: In stock
  • format: Paperback
  • isbn: 9780521775946

$75.00
Paperback

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About the Authors
  • Now available in paperback, this celebrated book remains a key systematic guide to a large part of the modern theory of Probability. The authors not only present the subject of Brownian motion as a dry part of mathematical analysis, but 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 presentation of the theory of Markov processes. Together with its companion volume, this book equips graduate students for research into a subject of great intrinsic interest and wide applications.

    • Classic book, first time in paperback
    • Intuitive and rigorous so suited for graduate students and non-experts
    • Comprehensive and up-to-date
    Read more

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    Product details

    • Edition: 2nd Edition
    • Date Published: May 2000
    • format: Paperback
    • isbn: 9780521775946
    • length: 406 pages
    • dimensions: 228 x 152 x 23 mm
    • weight: 0.572kg
    • contains: 49 exercises
    • availability: In stock
  • Table of Contents

    Some frequently used notation
    1. Brownian motion
    Part I. Introduction
    2. Basics about Brownian motion
    3. Brownian motion in higher dimensions
    4. Gaussian processes and Lévy processes
    Part II. Some Classical Theory
    5. Basic measure theory
    6. Basic probability theory
    7. Stochastic processes
    8. Discrete-parameter martingale theory
    9. Continuous-parameter martingale theory
    10. Probability measure on Lusin spaces
    Part III. Markov Processes:
    11. Transition functions and resolvents
    12. Feller–Dynkin processes
    13. Additive functionals
    14. Approach to ray processes: the Martin boundary
    15. Ray processes
    16. Applications
    References
    Index.

  • Authors

    L. C. G. Rogers, University of Bath

    David Williams, University of Wales, Swansea

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