ENGLISH

Stochastic calculus: a practical introduction

By Richard Durrett

Book information

Publisher
CRC Press
Year
1996
ISBN
0849380715, 9780849380716
LCC
QA274.2 .D87 1996
Open Library ID
OL986554M
Language
english
Format
DJVU
Filesize
2 MB (1846246 bytes)
Series
Probability and stochastics series
Edition
1
Pages
349\349
Library
Kolxo3
DPI
300
Scanned
yes
Time added
2009-07-20 03:45:11

Description

This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial differential equations. It solves stochastic differential equations by a variety of methods and studies in detail the one-dimensional case. The book concludes with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. The presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physics, finance, or the many other areas to which the subject applies, you'll find that this text brings together the material you need to effectively and efficiently impart the practical background they need.

Similar books