Diffusions, Markov Processes, and Martingales: Foundations

Diffusions, Markov Processes, and Martingales: Foundations

by L. C. G. Rogers, David Williams

Hardcover(2nd ed)

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Product Details

ISBN-13: 9780471950615
Publisher: Wiley
Publication date: 09/01/1994
Series: Wiley Series in Probability and Mathematical Statistics Series , #14
Edition description: 2nd ed
Pages: 406
Product dimensions: 6.30(w) x 9.33(h) x 1.10(d)

Table of Contents

BROWNIAN MOTION.

Basics About Brownian Motion.

Brownian Motion in Higher Dimensions.

Gaussian Processes and Lévy Processes.

SOME CLASSICAL THEORY.

Basic Measure Theory.

Basic Probability Theory.

Stochastic Processes.

Discrete-Parameter Martingale Theory.

Continuous-Parameter Supermartingales.

Probability Measure on Lusin Spaces.

MARKOV PROCESSES.

Transition Functions and Resolvents.

Feller-Dynkin Processes.

Additive Functionals.

Approach to Ray Processes: The Martin Boundary.

Ray Processes.

Applications.

References.

Index.

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