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.
Κατηγορίες:
Τόμος:
2 Ito Calculus
Έτος:
2000
Εκδότης:
Cambridge University Press
Γλώσσα:
english
Σελίδες:
469
ISBN 10:
0521775930
ISBN 13:
9780521775939
Αρχείο:
PDF, 14.36 MB
IPFS:
,
english, 2000