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Stochastic Calculus: A Practical Introduction
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Stochastic Calculus: A Practical Introduction Hardback - 1996 - 1st Edition

by Richard Durrett

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From the publisher

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.

From the rear cover

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.

Details

  • Title Stochastic Calculus: A Practical Introduction
  • Author Richard Durrett
  • Binding Hardback
  • Edition number 1st
  • Edition 1
  • Pages 352
  • Volumes 1
  • Language ENG
  • Publisher CRC Press, U.S.A.
  • Publication date 1996-06-21
  • Features Bibliography, Index
  • ISBN 9780849380716 / 0849380715
  • Weight 1.4 lbs (0.64 kg)
  • Dimensions 9.3 x 6.3 x 1.1 in (23.62 x 16.00 x 2.79 cm)
  • Category Mathematics
  • Library of Congress subjects Stochastic analysis
  • Library of Congress Catalogue Number 96024642
  • Dewey Decimal Code 519.2

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Stochastic Calculus (Probability and Stochastics Series)
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Stochastic Calculus (Probability and Stochastics Series)

by Durrett, Richard

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Stochastic Calculus (Probability and Stochastics Series)
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Stochastic Calculus (Probability and Stochastics Series)

by Durrett, Richard

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

by Durrett, Richard

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Stochastic Calculus (Probability and Stochastics Series)
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Stochastic Calculus (Probability and Stochastics Series)

by Durrett, Richard

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CRC Press, 1996-08-21. 1. hardcover. New. 9.21x6.14x0.79. Buy with confidence. Excellent Customer Service & Return policy.
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Stochastic Calculus: A Practical Introduction

Stochastic Calculus: A Practical Introduction

by Richard Durrett

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9780849380716 / 0849380715
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Hardcover. New. New Book; Fast Shipping from UK; Not signed; Not First Edition; 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
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Stochastic Calculus
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Stochastic Calculus

by Durrett, Richard,

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Stochastic Calculus
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Stochastic Calculus

by Durrett, Richard,

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Stochastic Calculus: A Practical Introduction
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Stochastic Calculus: A Practical Introduction

by Durrett, Richard (Author)

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CRC Pr I Llc, 1996. Hardcover. New. subsequent edition. 341 pages. 9.75x6.50x1.00 inches.
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