Stochastic Calculus - A Practical Introduction (Hardcover, 2)

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.

General

Imprint:	Crc Press
Country of origin:	United States
Series:	Probability and Stochastics Series
Release date:	June 1996
First published:	1996
Authors:	Richard Durrett
Dimensions:	234 x 156 x 25mm (L x W x T)
Format:	Hardcover
Pages:	341
Edition:	2
ISBN-13:	978-0-8493-8071-6
Categories:	Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > General Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
LSN:	0-8493-8071-5
Barcode:	9780849380716

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