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Stochastic Calculus: A Practical Introduction Hardback - 1996 - 1st Edition
by Richard Durrett
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From the publisher
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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