Diffusions, Markov processes, and martingales. 1, Foundations / L.C.G. Rogers and David Williams

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Diffusions, Markov processes, and martingales. 1, Foundations / L.C.G. Rogers and David Williams

Book

ROGERS, L.C.G. | WILLIAMS, David

Published by Cambridge University Press - 2000 , 2nd ed.

Library: Paris Champerret

Source : Syracuse

Item type: Book
Language: English

Publication year: 2000
Edition no.: 2nd ed.

ISBN: 978-0-521-77594-6

This book introduces to the fundamental theory of Brownian motion from the point of view of modern martingale and Markov process theory. The authors' aim is not just to present the subject of Brownian motion as a dry part of mathematical analysis, but to convey its real meaning and fascination. The book helps for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.

Diffusions, Markov processes, and martingales. 1, Foundations / L.C.G. Rogers and David Williams

Source : Syracuse

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