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Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus

✍ Scribed by L. C. G. Rogers, David Williams

Publisher: Cambridge University Press
Year: 2000
Tongue: English
Leaves: 494
Series: Cambridge Mathematical Library
Edition: 2
Category: Library

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✦ Synopsis

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.

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