Stochastic Calculus A Practical Introduction

ISBN-10: 0849380715

ISBN-13: 9780849380716

Edition: 2nd 1996

Authors: Richard Durrett
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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.

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Book details

Edition: 2nd
Copyright year: 1996
Publisher: CRC Press LLC
Publication date: 6/21/1996
Binding: Hardcover
Pages: 341
Size: 6.50" wide x 9.75" long x 1.00" tall
Weight: 1.540
Language: English

Brownian Motion
Stochastic Integration
Brownian Motion, II
Partial Differential Equations
Stochastic Differential Equations
One Dimensional Diffusions
Diffusions as Markov Processes
Weak Convergence
Solutions to Exercises
References
Index
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