Stochastic Calculus - An Elementary Introduction Emphasizing Applications

This text focuses on the parts of stochastic theory that are particularly relevant to applications. It begins with a description of Brownian motion and the associated stochastic calculus, including the relationship to partial differential equations. It then solves stochastic differential equations by a variety of methods. The author also 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 as well as weak convergence of Markov chains to diffusions.

Summary

This text focuses on the parts of stochastic theory that are particularly relevant to applications. It begins with a description of Brownian motion and the associated stochastic calculus, including the relationship to partial differential equations. It then solves stochastic differential equations by a variety of methods. The author also 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 as well as weak convergence of Markov chains to diffusions.

Product details

• Authors: Richard Durrett, Richard (Duke University Durrett
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Release: 06.08.2023, delayed
• EAN: 9781466566415
• ISBN: 978-1-4665-6641-5
• No. of pages: 250
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; MATHEMATICS / General, MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Probability & Statistics / Bayesian Analysis, Probability & statistics, Applied mathematics, Probability and statistics