Stochastic Calculus: A Practical Introduction - Rilegato

Libro 6 di 7: Probability and Stochastics

Durrett, Richard

 
9780849380716: Stochastic Calculus: A Practical Introduction
Rilegato
ISBN 10: 0849380715 ISBN 13: 9780849380716
Casa editrice: CRC Press, 1996

Sinossi

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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Informazioni sull?autore

Richard Durrett

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Editore
CRC Press
Data di pubblicazione
1996
Lingua
Inglese
ISBN 10 
0849380715
ISBN 13 
9780849380716
Rilegatura
Copertina rigida
Numero edizione
1
Numero di pagine
352
Contatto del produttore
non disponibile
Persona responsabile
gpsr@libri.de
gpsr@libri.de

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