Diffusions, Markov Processes, and Martingales by L. C. G. Rogers
Diffusions, Markov Processes, and Martingales by L. C. G. Rogers
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DOI：
10.1017/cbo9780511805141
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发表时间：
2000-04
期刊：
影响因子：
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通讯作者：
L. Rogers;David Williams
中科院分区：
文献类型：
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作者：
L. Rogers;David Williams
这本著名的书已经准备与读者的需要铭记，其余的一个系统的治疗的主题，同时保持其活力。第二卷如下从第一，集中在随机积分，随机微分方程，游览理论和一般理论的过程。通过提供许多具体的例子来说明计算技术，并从简单的情况开始，从头开始处理所有主题，已经做出了很大的努力，使这些主题尽可能容易理解。许多例子和证明都是新的;一些重要的计算技巧在这本书中是第一次出现。连同其同伴卷，这本书有助于装备研究生的研究到一个非常内在的兴趣和广泛的应用在物理学，生物学，工程学，金融和计算机科学的主题。
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.