Diffusions, Markov Processes, and Martingales
Volume 1. Foundations
2nd Edition
£68.99
Part of Cambridge Mathematical Library
- Authors:
- L. C. G. Rogers, University of Bath
- David Williams, University of Wales, Swansea
- Date Published: April 2000
- availability: Available
- format: Paperback
- isbn: 9780521775946
£
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Paperback
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Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. 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.
Read more- Classic book, first time in paperback
- Intuitive and rigorous so suited for graduate students and non-experts
- Comprehensive and up-to-date
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×Product details
- Edition: 2nd Edition
- Date Published: April 2000
- format: Paperback
- isbn: 9780521775946
- length: 410 pages
- dimensions: 229 x 154 x 21 mm
- weight: 0.56kg
- contains: 49 exercises
- availability: Available
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.
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