Diffusions, Markov Processes, and Martingales: Volume 1, Foundations (Cambridge Mathematical Library)
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.