Diffusions, Markov Processes, and Martingales: Volume 1, Foundations

Häftad, Engelska, 2000

AvL. C. G. Rogers,David Williams,L. C. G. (University of Bath) Rogers,Swansea) Williams, David (University of Wales,D. Williams

1 179 kr

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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.

Produktinformation

Utgivningsdatum2000-04-13
Mått154 x 229 x 21 mm
Vikt560 g
FormatHäftad
SpråkEngelska
SerieCambridge Mathematical Library
Antal sidor410
Upplaga2
FörlagCambridge University Press
ISBN9780521775946

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Some frequently used notation; 1. Brownian motion; Part I. Introduction: 2. Basics about Brownian motion; 3. Brownian motion in higher dimensions; 4. Gaussian processes and Lévy processes; Part II. Some Classical Theory: 5. Basic measure theory; 6. Basic probability theory; 7. Stochastic processes; 8. Discrete-parameter martingale theory; 9. Continuous-parameter martingale theory; 10. Probability measure on Lusin spaces; Part III. Markov Processes: 11. Transition functions and resolvents; 12. Feller–Dynkin processes; 13. Additive functionals; 14. Approach to ray processes: the Martin boundary; 15. Ray processes; 16. Applications; References; Index.

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