扩散 马尔可夫过程和鞅 第1卷

作者：L.C.G.Rogers,D.Williams 著

页数：566

出版社：世界图书出版公司

出版日期：2003

ISBN：9787506259217

电子书格式：pdf/epub/txt

内容简介

Longago（orsoitseemstoday）,Chungwroteonpage196ofhisbook[1]:’Onewondersifthepresenttheoryofstochasticprocessesisnotstilltoodifficultforapplications.’Advancesinthetheorysincethattimehavebeenphenomenal,butthesehavebeenaccompaniedbyanincreaseinthetechnicaldifficultyofthesubjectsobewilderingastogiveaquaintcharmtoChung’suseoftheword’still’.Meyerwritesintheprefacetohisdefinitiveaccountofstochasticintegraltheory:’…ilfaut…uncoursdesixmoissurlesdefinitions.Quepeutonyfaire?’IhavethoughtupasintuitiveapictureofthesubjectasIcan,writtenitdownatspeed,andrefusedtobeluredbackbypiety（orevenbywit!）tocancelhalfaline.’First’intuition,whichiswhatyouneedwhenyouarelearningthesubject,israw,roughandready;and,asyouhaveguessed,Imaketheexcusethatitdemandsacompatiblestyleandlackofpolish.NotethatIwrote’firstintuition’.Consideranexample.Meyer’sconceptofarightprocessisexactlyrightforMarkovprocesstheory,buttheconceptistheresultofalongevolution.Tounderstanditproperly,youneedahighlydevelopedintuition,andthattakestimetoacquire.Thedifficultywiththebestadvancedliteratureisthatitsauthorshavetoomuchintuition;nevermakethemistakeofthinkingotherwise.

本书特色

Chung wrote on page 196 of his book[1]:’One wonders if the present theory of stochastic processes is not still too difficult for applications.’Advances in the theory since that time have been phenomenal,but these have been accompanied by an increase in the technical difficulty of the subject so bewildering as to give a quaint charm to Chung’s use of the word ‘still’.Meyer writes in the preface to his definitive account of stochastic integral theory:’…il faut…

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