Stochastic Calculus

Stochastic Calculus

EnglishHardbackPrint on demand
Durrett, Richard
Taylor & Francis Inc
EAN: 9780849380716
Print on demand
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Detailed information

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.

EAN 9780849380716
ISBN 0849380715
Binding Hardback
Publisher Taylor & Francis Inc
Publication date June 21, 1996
Pages 352
Language English
Dimensions 234 x 156
Country United States
Authors Durrett, Richard
Series Probability and Stochastics Series