Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Calculus: A Practical Introduction

Stochastic Calculus: A Practical Introduction

Durrett, Richard

Hardcover

Series: Probability and Stochastics, Book 6

AlgebraGeneral MathematicsProbability & Statistics

ISBN10: 0849380715
ISBN13: 9780849380716
Publisher: CRC Press
Published: Jun 21 1996
Pages: 352
Weight: 1.40
Height: 1.10 Width: 6.30 Depth: 9.30
Language: English
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. The book 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 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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