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Stochastic Calculus A Practical Introduction cover
  • ISBN: 9780849380716
  • ISBN10: 0849380715
Stochastic Calculus A Practical Introduction

by Richard Durrett

  • Binding: Hardcover
  • Edition: 0002
  • Publisher: CRC Pr I Llc
  • Publish date: 06/01/1996
  • Matching Categories:
    1. Science / Chemistry
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Description
This compact yet thorough text zeros in on the parts of the theory that are useful for applications to mathematical finance, queuing theory, biology, and physics. It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial... Expand differential equations. It solves stochastic differential equations by a variety of methods and studies in detail the one dimensional case. This time-saving book concludes by treating semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. Collapse
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