Stochastic Calculus A Practical Introduction

Name: Stochastic Calculus A Practical Introduction
Availability: InStock
ISBN: 9780849380716

ISBN-10: 0849380715

ISBN-13: 9780849380716

Edition: 2nd 1996

Authors: Richard Durrett

List price: $180.00

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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,…

Book details

List price: $180.00
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