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 ...
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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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Add this copy of Stochastic Calculus: a Practical Introduction to cart. $35.34, like new condition, Sold by ThriftBooks-Dallas rated 4.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 1996 by CRC Press.
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Add this copy of Stochastic Calculus (Probability and Stochastics Series to cart. $38.83, like new condition, Sold by Wonder Book - Member ABAA/ILAB rated 5.0 out of 5 stars, ships from Frederick, MD, UNITED STATES, published 1996 by CRC Press.
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Add this copy of Stochastic Calculus: a Practical Introduction to cart. $154.71, new condition, Sold by GridFreed rated 5.0 out of 5 stars, ships from North Las Vegas, NV, UNITED STATES, published 1996 by CRC Press.
