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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.
| Autorius: | Richard Durrett, Durrett, Durrett Durrett, |
| Leidėjas: | Routledge |
| Išleidimo metai: | 1996 |
| Knygos puslapių skaičius: | 352 |
| ISBN-10: | 0849380715 |
| ISBN-13: | 9780849380716 |
| Formatas: | 240 x 161 x 23 mm. Knyga kietu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „Stochastic Calculus: A Practical Introduction“
