Stochastic Calculus: A Practical Introduction: 6 (Probability and Stochastics Series) - Hardcover

Durrett, Richard

 
9780849380716: Stochastic Calculus: A Practical Introduction: 6 (Probability and Stochastics Series)
Hardcover
ISBN 10: 0849380715 ISBN 13: 9780849380716
Verlag: CRC Press, 1996

Inhaltsangabe

This compact yet thorough text zeros in on the parts of the theory that are useful for applications to mathematical finance, queuing theory, biology, and physics. The book 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 by treating semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions.

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Über die Autorin bzw. den Autor

Richard Durrett

Von der hinteren Coverseite

This compact yet thorough text zeros in on the parts of the theory that are useful for applications to mathematical finance, queuing theory, biology, and physics. 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. This time-saving book concludes by treating semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
CRC Press
Erscheinungsdatum
1996
Sprache
Englisch
ISBN 10 
0849380715
ISBN 13 
9780849380716
Einband
Tapa dura
Auflage
2
Anzahl der Seiten
352
Kontakt zum Hersteller
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Verantwortliche Person
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