Diffusions, Markov processes, and martingales. [E-Book] / L.C.G. Rogers and David Williams. Volume 1, Foundations
Rogers, L. C. G., (author)
Williams, D., (author)
2nd edition.
Cambridge : Cambridge University Press, 2000
1 online resource (xx, 386 pages)
Cambridge mathematical library
Full Text
Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic guide to a large part of the modern theory of Probability, whilst retaining its vitality. The authors' aim is to present the subject of Brownian motion not as a dry part of mathematical analysis, but to 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 and readable account of the theory of Markov processes. 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.