Stochastic Calculus: An Elementary Introduction Emphasizing Applications by Richard Durrett
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.
Rick Durrett received his Ph.D. in operations research from Stanford University in 1976. He taught in the UCLA mathematics department before coming to Cornell in 1985. He is the author of six books and 125 research papers, and is the academic father of more than 30 Ph.D. students. His current interests are the use of probability models in genetics and ecology, and decreasing the mean and variance of his golf.
| SKU | Unavailable |
| ISBN 13 | 9781466566415 |
| ISBN 10 | 1466566418 |
| Title | Stochastic Calculus: An Elementary Introduction Emphasizing Applications |
| Author | Richard Durrett |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Taylor & Francis Inc |
| Year published | 2013-06-01 |
| Number of pages | 250 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |