Diffusions, Markov Processes, and Martingales

Volume 1. Foundations

2nd Edition

$89.99 (P)

Part of Cambridge Mathematical Library

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

Date Published: May 2000
availability: Available
format: Paperback
isbn: 9780521775946

Rate & review

$ 89.99 (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

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
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: May 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.
Look Inside
Authors
L. C. G. Rogers, University of Bath
David Williams, University of Wales, Swansea