Cart

Unlocking potential with the best learning and research solutions

I want this title to be available as an eBook

Diffusions, Markov Processes and Martingales

Volume 2. Itô Calculus

2nd Edition

$90.99 (P)

Part of Cambridge Mathematical Library

Authors:
L. C. G. Rogers, University of Bath
David Williams, University of Bath

Date Published: September 2000
availability: Available
format: Paperback
isbn: 9780521775939

Rate & review

$ 90.99 (P)
Paperback

Add to cart Add to wishlist

Looking for an examination copy?

This title is not currently available for examination. However, if you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact collegesales@cambridge.org providing details of the course you are teaching.

Description

Contents

Resources

Courses

About the Authors

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.
- Classic book, first time in paperback
- Intuitive and rigorous, so suited for graduate students and non-experts
- Comprehensive and up-to-date
Read more
Reviews & endorsements
'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 Itô calculus … there is nothing dry about this book, for its authors have already breathed life into a vibrant subject.' Mathematics Today
See more reviews
Customer reviews

Not yet reviewed
Be the first to review

Log in to review

Review was not posted due to profanity
×

, create a review

(If you're not , sign out)

Please enter the right captcha value

Please enter a star rating.

Your review must be a minimum of 12 words.

How do you rate this item?

Reviews must contain at least 12 words about the product.

×

Product details
- Edition: 2nd Edition
- Date Published: September 2000
- format: Paperback
- isbn: 9780521775939
- length: 496 pages
- dimensions: 226 x 152 x 23 mm
- weight: 0.66kg
- availability: Available
Table of Contents
Some frequently used notation
4. Introduction to Ito calculus
4.1. Some motivating remarks
4.2. Some fundamental ideas: previsible processes, localization, etc.
4.3. The elementary theory of finite-variation processes
4.4. Stochastic integrals: the L2 theory
4.5. Stochastic integrals with respect to continuous semimartingales
4.6. Applications of Ito's formula
5. Stochastic differential equations and diffusions
5.1. Introduction
5.2. Pathwise uniqueness, strong SDEs, flows
5.3. Weak solutions, uniqueness in law
5.4. Martingale problems, Markov property
5.5. Overture to stochastic differential geometry
5.6. One-dimensional SDEs
5.7. One-dimensional diffusions
6. The general theory
6.1. Orientation
6.2. Debut and section theorems
6.3. Optional projections and filtering
6.4. Characterising previsible times
6.5. Dual previsible projections
6.6. The Meyer decomposition theorem
6.7. Stochastic integration: the general case
6.8. Ito excursion theory
References
Index.
Look Inside
Authors
L. C. G. Rogers, University of Bath
David Williams, University of Bath