Stochastic Calculus - Couverture rigide

Durrett, Richard

 
9780849380716: Stochastic Calculus
Couverture rigide
ISBN 10 : 0849380715 ISBN 13 : 9780849380716
Editeur : CRC Press, 1996

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Richard Durrett

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
CRC Press
Date d'édition
1996
Langue
anglais
ISBN 10 
0849380715
ISBN 13 
9780849380716
Reliure
Relié
Nombre de pages
352
Coordonnées du fabricant
non disponible
Personne responsable
non disponible