๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Stochastic calculus: a practical introduction

โœ Scribed by Richard Durrett

Book ID
127426299
Publisher
CRC Press
Year
1996
Tongue
English
Weight
2 MB
Series
Probability and stochastics series
Edition
1
Category
Library
City
Boca Raton
ISBN-13
9780849380716

No coin nor oath required. For personal study only.

โœฆ 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.

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