Diffusions, Markov Processes and Martingales Ito Calculus

Name: Diffusions, Markov Processes and Martingales Ito Calculus
Price: 47.83 USD
Availability: InStock
ISBN: 9780521775939

ISBN-10: 0521775930

ISBN-13: 9780521775939

Edition: 2nd 2000 (Revised)

Authors: L. C. G. Rogers, David Williams

List price: $86.99

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Description:

Now available in paperback for the first time, this second volume concentrates on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

Book details

List price: $86.99
Edition: 2nd
Copyright year: 2000
Publisher: Cambridge University Press
Publication date: 9/7/2000
Binding: Paperback
Pages: 496
Size: 5.98" wide x 8.90" long x 0.91" tall
Weight: 1.804
Language: English



Some frequently used notation



Introduction to Ito calculus



Some motivating remarks



Some fundamental ideas: previsible processes, localization, etc



The elementary theory of finite-variation processes



Stochastic integrals: the L2 theory



Stochastic integrals with respect to continuous semimartingales



Applications of Ito's formula



Stochastic differential equations and diffusions



Introduction



Pathwise uniqueness, strong SDEs, flows



Weak solutions, uniqueness in law



Martingale problems, Markov property



Overture to stochastic differential geometry



One-dimensional SDEs



One-dimensional diffusions



The general theory



Orientation



Debut and section theorems



Optional projections and filtering



Characterising previsible times



Dual previsible projections



The Meyer decomposition theorem



Stochastic integration; the general case



Ito excursion theory


References


Index