- 341 pages
- English
- ePUB (mobile friendly)
- Available on iOS & Android
eBook - ePub
About this book
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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Information
Table of contents
- Cover
- Half Title
- Title Page
- Copyright Page
- Table of Contents
- 1. Brownian Motion
- 2. Stochastic Integration
- 3. Brownian Motion, II
- 4. Partial Differential Equations
- 5. Stochastic Differential Equations
- 6. One Dimensional Diffusions
- 7. Diffusions as Markov Processes
- 8. Weak Convergence
- Solutions to Exercises
- References
- Index
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Yes, you can access Stochastic Calculus by Richard Durrett in PDF and/or ePUB format, as well as other popular books in Mathematics & Applied Mathematics. We have over 1.5 million books available in our catalogue for you to explore.