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

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...