rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Stochastic calculus
    sub title: a practical introduction
  title info:
    title: MATHnetBASE
  name:
    name part: Durrett, Richard
    name part: 1951-
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Taylor & Francis
  name:
    name part: Taylor and Francis
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: flu
    date issued: 2018
    copyright date: 1996
    edition: First edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (341 pages).
  abstract: This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications. It 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 with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. The presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physics, finance, or the many other areas to which the subject applies, you'll find that this text brings together the material you need to effectively and efficiently impart the practical background they need.
  table of contents: chapter 1 Brownian Motion / Richard Durrett -- chapter 2 Stochastic Integration / Richard Durrett -- chapter 3 Brownian Motion, II / Richard Durrett -- chapter 4 Partial Differential Equations / Richard Durrett -- chapter 5 Stochastic Differential Equations / Richard Durrett -- chapter 6 One Dimensional Diffusions / Richard Durrett -- chapter 7 Diffusions as Markov Processes / Richard Durrett -- chapter 8 Weak Convergence / Richard Durrett.
  note: by Richard Durrett.
  subject:
    topic: Stochastic analysis
  subject:
    topic: MATHEMATICS / Applied
  subject:
    topic: MATHEMATICS / Probability & Statistics / Bayesian Analysis
  subject:
    topic: MATHEMATICS / Probability & Statistics / General
  classification: QA274.2
  classification: 519.2
  related item:
    title info:
      title: Probability and stochastics series
  identifier: 9780203738283
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: FlBoTFG
    record creation date: 180706
    record change date: 20220613175749.4
    record identifier: in00004580949