Diffusions, Markov Processes, and Martingales
L.C.G Rogers and David Williams
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.
類別:
體積:
2 Ito Calculus
年:
2000
出版商:
Cambridge University Press
語言:
english
頁數:
469
ISBN 10:
0521775930
ISBN 13:
9780521775939
文件:
PDF, 14.36 MB
IPFS:
,
english, 2000