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Rogers L.C.G., Williams D. Diffusions, Markov Processes and Martingales. Volume 1, Foundations

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Rogers L.C.G., Williams D. Diffusions, Markov Processes and Martingales. Volume 1, Foundations
Cambridge: Cambridge University Press, 2000. - 406 p.
Now available in paperback, this celebrated book remains a key systematic guide to a large part of the modern theory of Probability. The authors not only present the subject of Brownian motion as a dry part of mathematical analysis, but 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 presentation of the theory of Markov processes. Together with its companion volume, this book equips graduate students for research into a subject of great intrinsic interest and wide applications.
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