Stochastic Calculus
| Autor: | Durrett Durrett, Durrett Durrett, Richard |
|---|---|
| EAN: | 9780849380716 |
| Auflage: | 002 |
| Sachgruppe: | Mathematik |
| Sprache: | Englisch |
| Seitenzahl: | 352 |
| Produktart: | Gebunden |
| Veröffentlichungsdatum: | 01.06.1996 |
| Untertitel: | A Practical Introduction |
| Schlagworte: | Algebra Stochastik |
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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.
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