Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus
Автор
L. C. G. Rogers (University Of Bath)
, David Williams (University Of Bath)
This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.