Stochastic calculus : a practical introduction /
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. It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial different...
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| Format: | eBook |
| Language: | English |
| Published: |
Boca Raton :
CRC Press,
©1996.
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| Series: | Probability and stochastics series.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. 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. This time-saving 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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| Physical Description: | 1 online resource |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780203738283 0203738284 9781351413749 1351413740 0849380715 9780849380716 |