Stochastic Calculus ― An Elementary Introduction Emphasizing Applications
商品資訊
ISBN13：9781466566415
出版社：Taylor & Francis
作者：Richard Durrett
出版日：2014/10/10
裝訂／頁數：精裝／250頁
商品簡介
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.
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