An edition of Stochastic calculus: a practical introduction (1996)

Stochastic calculus

a practical introduction

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Cover of: Stochastic calculus by Richard Durrett
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Last edited by MARC Bot
August 2, 2024 | History
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An edition of Stochastic calculus: a practical introduction (1996)

Stochastic calculus

a practical introduction

by

  • 0 Ratings
  • 0 Want to read
  • 0 Currently reading
  • 0 Have read

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.

Publish Date
Publisher
CRC Press
Language
English
Pages
341

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Previews available in: English

Subjects
Stochastic analysis, Brownian movements, Martingales (mathematics), Stochastic Processes, MATHEMATICS, Applied, Probability & Statistics, General, Analyse stochastique, Processos estocasticos, Analise estocastica, Stochastische analyse

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Edition Availability
Cover of: Stochastic calculus
Stochastic calculus: a practical introduction
1996, CRC Press
in English
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Book Details

Edition Notes

Includes bibliographical references (p. [335]-338) and index.
Rev. ed. of: Brownian motion and martingales in analysis. c1984.

Published in
Boca Raton
Series
Probability and stochastics series

Classifications

Dewey Decimal Class
519.2
Library of Congress
QA274.2 .D87 1996, QA274.2.D87 1996

The Physical Object

Pagination
vi, 341 p. ;
Number of pages
341

ID Numbers

Open Library
OL986554M
Internet Archive
stochasticcalcul00durr_751
ISBN 10
0849380715
LCCN
96024642
OCLC/WorldCat
1031314343, 34894437
Library Thing
1730971
Goodreads
746152

Source records

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Ithaca College Library MARC record
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Library of Congress MARC record
amazon.com record
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marc_columbia MARC record

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Download catalog record: RDF / JSON / OPDS | Wikipedia citation
August 2, 2024 Edited by MARC Bot import existing book
June 29, 2023 Edited by ImportBot import existing book
May 27, 2023 Edited by MARC Bot import existing book
December 16, 2022 Edited by MARC Bot import existing book
April 1, 2008 Created by an anonymous user Imported from Scriblio MARC record