Stochastic Calculus

An Elementary Introduction Emphasizing Applications

Richard Durrett (Autor)

Buch | Hardcover

250 Seiten

2026
Crc Press Inc (Verlag)
978-1-4665-6641-5 (ISBN)

Infos

This text focuses on the parts of stochastic theory that are particularly relevant to applications. It begins with a description of Brownian motion and the associated stochastic calculus, including the relationship to partial differential equations. It then solves stochastic differential equations by a variety of methods. The author also 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 as well as weak convergence of Markov chains to diffusions.

Produkt-Details

• Erscheint lt. Verlag: 5.1.2026
• Zusatzinfo: 10 Illustrations, black and white
• Verlagsort: Bosa Roca
• Sprache: englisch
• Maße: 156 x 234 mm
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• ISBN-10: 1-4665-6641-8 / 1466566418
• ISBN-13: 978-1-4665-6641-5 / 9781466566415
• Zustand: Neuware