Diffusions, Markov processes, and martingales
 Author/Creator
 Rogers, L. C. G.
 Language
 English.
 Edition
 2nd ed.
 Imprint
 Cambridge, U.K. ; New York : Cambridge University Press, 2000.
 Physical description
 2 v. : ill. ; 23 cm.
 Series
 Cambridge mathematical library.
Access
Available online

Stacks
 Library has: v.2

Unknown
QA274.7 .W54 2000 V.2
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Contributors
 Contributor
 Williams, D. (David), 1938
Contents/Summary
 Bibliography
 Includes bibliographical references and indexes.
 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 finitevariation 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. Onedimensional SDEs 5.7. Onedimensional 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.
 (source: Nielsen Book Data)
 Publisher's Summary
 This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.
(source: Nielsen Book Data)  Supplemental links

Publisher description
Table of contents
Subjects
Bibliographic information
 Reprint/reissue date
 2000
 Original date
 1994
 Responsibility
 L.C.G. Rogers and David Williams.
 Series
 Cambridge mathematical library
 Note
 Originally published: Chichester, West Sussex, England ; New York : Wiley, c1994.
 ISBN
 0521775949
 9780521775946
 0521775930
 9780521775939