Product Description

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.

Product Details

• Amazon Sales Rank: #286652 in Books
• Published on: 2000-04-13
• Original language: English
• Number of items: 1
• Binding: Paperback
• 406 pages

Customer Reviews

a high quality book
this is a high level rigorous but comprehensible introduction to continuous time martingales and stochastic calculus. If you want to learn about continuous time martingales, it's the best pure maths account I've found.

Don't think about reading it unless you have already read and understood Williams' "probability and martingales" to which it is a natural sequel. Chung and R. Williams book is also a useful companion book for the stochastic integration theory.

A bad place to start
This book suffers from a catastrophic failure of the authors to define their notation and the terms they use. Nor do they bother to indicate what prior knowledge is assumed. I think it unlikely that anyone without a degree in mathematics and some post-graduate experience of statistical theory will get further than the third sentence of the introduction.

Having said that, if you do have the requisite background, you will be impressed by the scholarship, intuition and density of information.

Amazing Book
The book is very clear in every aspect that it studies. The layout may be a bit confusing, the first chapter is on Brownian motion, and second on measure theory and classical probability. It doesn't assume the reader knows much. The theorems of measure theory are given with proofs when needed. It is a perfect book for a probabilist!