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Diffusions, Markov Processes, and Martingales: Volume 1, Foundations (Cambridge Mathematical Library)
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Binding: Paperback
Dewey Decimal Number: 519.283
EAN: 9780521775946
Edition: 2
ISBN: 0521775949
Label: Cambridge University Press
Manufacturer: Cambridge University Press
Number Of Items: 1
Number Of Pages: 406
Publication Date: May 01, 2000
Publisher: Cambridge University Press
Studio: Cambridge University Press
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Editorial Review:
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.
Now available in paperback, this celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The authors' aim is not just to present the subject of Brownian motion as a dry part of mathematical analysis, but to convey its real meaning and fascination. 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.
Customer Reviews
Average Rating: 
Rating: - Definitive Introduction of Brownian Motion and Markov Processes
The authors have compiled an excellent text which introduces the reader to the fundamental theory of Brownian motion from the point of view of modern martingale and Markov process theory. I highly recommend this book for anyone who wants to acquire and in-depth understanding of Brownian motion and stochastic calculus.
The book is fairly self-contained, although the reader should prepare herself with some prerequisite material. Rudin's Real and Complex Analysis and Norris' Markov Chains ... Read More
Rating: - A Beautiful Survey of Markov Processes
This book, the first in a two volume set, is a wonderful survey of some of the most important results in modern mathematics. The books begin with Brownian motion, review results from measure theory, and proceed all the way up to the general theory of Markov processes. As a researcher in econometrics and finance, I have found these books incredibly useful.
Several things really set these books apart. First, the authors do a great job motivating the subject matter, giving the reader a ... Read More
Rating: - A Great Book
This book and its companion volume are a well organized and relatively easy-to-read introduction to a wide variety of ideas in stochastic processes. It is not only a great reference (I always keep it on my desk) but it also has a solid expositional style that fully motivates concepts as they are introduced. The Ito Calculus volume goes deeper than a number of other books on topic including information on integration wrt to a general semimartingale instead of just BM and even an introduction to stochastic ... Read More
Rating: - A Great Book
This is a great book. It is not difficult to read. The style is very informal and at times actually humourous. It does not follow the definition-lemma-proof way of doing things at the expense of leaving simple definitions out, but these can be easily found somewhere else. The book contains an enormous amount of information, and the authors are clearly men of great knowledge and depth. The book is very nicely produced (from a 1st edition) by Cambridge U Press. Very clearly printed, and at a low price for the ... Read More
Rating: - Excellent Treatment of Theory of Diffusion, Martingales, Ito
Although not an easy read, this book contains a wealth of information on diffusion, martingales and Ito calculus. Reading difficulty is comparable to Karatzas/Shreve. Mastery of topics included enables the reader to get understanding of most of the current research papers in this field.
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