Overview
- Authors:
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K. L. Chung
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Department of Mathematics, Stanford University, Stanford, USA
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R. J. Williams
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Department of Mathematics, University of California at San Diego, La Jolla, USA
- Affordable, softcover reprint of a classic textbook
- Authors' exposition consistently chooses clarity over brevity
- Includes an expanded collection of exercises from the first edition
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Table of contents (10 chapters)
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- K. L. Chung, R. J. Williams
Pages 1-22
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- K. L. Chung, R. J. Williams
Pages 23-56
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- K. L. Chung, R. J. Williams
Pages 57-74
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- K. L. Chung, R. J. Williams
Pages 75-91
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- K. L. Chung, R. J. Williams
Pages 93-116
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- K. L. Chung, R. J. Williams
Pages 117-139
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- K. L. Chung, R. J. Williams
Pages 141-156
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- K. L. Chung, R. J. Williams
Pages 157-182
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- K. L. Chung, R. J. Williams
Pages 183-215
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- K. L. Chung, R. J. Williams
Pages 217-264
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Back Matter
Pages 265-277
About this book
This is a substantial expansion of the first edition. The last chapter on stochastic differential equations is entirely new, as is the longish section §9.4 on the Cameron-Martin-Girsanov formula. Illustrative examples in Chapter 10 include the warhorses attached to the names of L. S. Ornstein, Uhlenbeck and Bessel, but also a novelty named after Black and Scholes. The Feynman-Kac-Schrooinger development (§6.4) and the material on re flected Brownian motions (§8.5) have been updated. Needless to say, there are scattered over the text minor improvements and corrections to the first edition. A Russian translation of the latter, without changes, appeared in 1987. Stochastic integration has grown in both theoretical and applicable importance in the last decade, to the extent that this new tool is now sometimes employed without heed to its rigorous requirements. This is no more surprising than the way mathematical analysis was used historically. We hope this modest introduction to the theory and application of this new field may serve as a text at the beginning graduate level, much as certain standard texts in analysis do for the deterministic counterpart. No monograph is worthy of the name of a true textbook without exercises. We have compiled a collection of these, culled from our experiences in teaching such a course at Stanford University and the University of California at San Diego, respectively. We should like to hear from readers who can supply VI PREFACE more and better exercises.
Reviews
"An attractive text…written in [a] lean and precise style…eminently readable. Especially pleasant are the care and attention devoted to details… A very fine book."
—Mathematical Reviews
Authors and Affiliations
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Department of Mathematics, Stanford University, Stanford, USA
K. L. Chung
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Department of Mathematics, University of California at San Diego, La Jolla, USA
R. J. Williams
