9781107008007: Stochastic Processes
Couverture rigide
ISBN 10 : 110700800X ISBN 13 : 9781107008007
Editeur : Cambridge University Press, 2011

Synopsis

This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes and semigroup theory. Applications include the Black–Scholes formula for the pricing of derivatives in financial mathematics, the Kalman–Bucy filter used in the US space program and also theoretical applications to partial differential equations and analysis. Short, readable chapters aim for clarity rather than full generality. More than 350 exercises are included to help readers put their new-found knowledge to the test and to prepare them for tackling the research literature.

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À propos de l?auteur

Richard F. Bass is Board of Trustees Distinguished Professor in the Department of Mathematics at the University of Connecticut.

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

Éditeur
Cambridge University Press
Date d'édition
2011
Langue
anglais
ISBN 10 
110700800X
ISBN 13 
9781107008007
Reliure
Relié
Nombre de pages
408
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France