Stochastic Calculus A Practical Introduction
Edition: 2nd 1996
List price: $154.95
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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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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $154.95
Copyright year: 1996
Publisher: CRC Press LLC
Publication date: 6/21/1996
Size: 6.50" wide x 9.75" long x 1.00" tall
|Brownian Motion, II|
|Partial Differential Equations|
|Stochastic Differential Equations|
|One Dimensional Diffusions|
|Diffusions as Markov Processes|
|Solutions to Exercises|