Stochastic Calculus (Probability and Stochastics Series) - Hardcover

Durrett, Richard

Hardcover

ISBN 10: 0849380715 ISBN 13: 9780849380716

Publisher: 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.

About this title

From the Back 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.

Edition details

• Publisher: CRC Press
• Publication date: 1996
• ISBN 10: 0849380715
• ISBN 13: 9780849380716
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 352