Diffusions, Markov Processes, and Martingales: Volume 1, Foundations

Cambridge Mathematical Library

by L.C.G. Rogers, David Williams

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.

Genres: Mathematics

410 pages, Paperback

First published May 1, 1979

Reviews

[Joe Cole]

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 volume. I highly recommend both volumes to anyone who works in stochastic processes, or mathematical finance (assuming one wants to learn things, rather than just talk about them).

[Daniel]

Good, comprehensive whilst not being unnecessarily formal.

[Christian Chapman]

all bones, no meat. needs a good instructor to go along with it