Diffusions, Markov Processes, and Martingales, Volume 2: Ito Calculus / Edition 2

Diffusions, Markov Processes, and Martingales, Volume 2: Ito Calculus / Edition 2

by L. C. G. Rogers, David Williams
     
 

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.See more details below

Overview

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

Product Details

ISBN-13:
9780521775939
Publisher:
Cambridge University Press
Publication date:
06/28/2014
Series:
Cambridge Mathematical Library Series
Edition description:
Revised Edition
Pages:
494
Sales rank:
1,251,183
Product dimensions:
5.98(w) x 8.98(h) x 0.94(d)

Meet the Author

Table of 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 finite-variation 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. One-dimensional SDEs; 5.7. One-dimensional 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.

Read More

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >