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Stochastic Calculus (Probability & Stochastics)

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Stochastic Calculus (Probability & Stochastics) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Book News Annotation:

An introductory text pinpointing the stochastic theories useful for application to mathematical finance, queuing, biology, and physics. Durrett (mathematics, Cornell U.) describes Brownian motion and associated stochastic calculus, the relationship to partial differential equations, solves the equations by a variety of methods, and includes treatments of semigroups, generators, Harris chains to diffusions, and weak convergence of Markov chains to diffusions. Road-tested in the classrooms of Cornell, the volume features student friendly solutions for exercises and simplifies content to its essential elements.
Annotation c. Book News, Inc., Portland, OR (booknews.com)

Synopsis:

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.

Description:

Includes bibliographical references (p. [335]-338) and index.

Product Details

ISBN:
9780849380716
Editor:
Pinsky, Mark
Author:
Pinsky, Mark
Author:
Durrett, Richard
Author:
Durrett
Author:
Durrett, Durrett
Author:
Pinsky, Mark
Publisher:
CRC Press
Location:
Boca Raton :
Subject:
Applied
Subject:
Probability
Subject:
Algebra - General
Subject:
Stochastic analysis
Subject:
Martingales (mathematics)
Subject:
Brownian movements
Subject:
Martangales (mathematacs)
Subject:
Analyse stochastique
Subject:
Probability & Statistics - General
Subject:
Processos estocasticos
Subject:
Analise estocastica
Subject:
Probability & Statistics - Bayesian Analysis
Subject:
Mathematics - Algebra
Edition Number:
2
Series:
Probability & Stochastics
Series Volume:
92200.7-02D
Publication Date:
19960631
Binding:
Paperback
Language:
English
Illustrations:
Yes
Pages:
352
Dimensions:
9.59x6.48x.99 in. 1.54 lbs.

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Related Subjects

Science and Mathematics » Geology » Earth Sciences
Science and Mathematics » Mathematics » Algebra » General
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Stochastic Calculus (Probability & Stochastics) New Hardcover
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Product details 352 pages CRC Press - English 9780849380716 Reviews:
"Synopsis" by , 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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