Diffusions Markov Processes and Martingales

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. Language: English