Diffusions, Markov Processes, and Martingales: Volume 1, Foundations (Cambridge Mathematical Library)

by L. C. G. Rogers and David Williams

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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.
  • ISBN13 9780521775946
  • Publish Date 13 April 2000
  • Publish Status Active
  • Out of Print 20 April 2021
  • Publish Country GB
  • Imprint Cambridge University Press
  • Edition 2nd Revised edition
  • Format Paperback (US Trade)
  • Pages 410
  • Language English