Stochastic Calculus

A Practical Introduction

Nonfiction, Science & Nature, Mathematics, Probability, Statistics
Cover of the book Stochastic Calculus by Richard Durrett, CRC Press
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Author: Richard Durrett ISBN: 9781351413749
Publisher: CRC Press Publication: March 29, 2018
Imprint: CRC Press Language: English
Author: Richard Durrett
ISBN: 9781351413749
Publisher: CRC Press
Publication: March 29, 2018
Imprint: CRC Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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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