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Stochastic calculus : a practical introduction /

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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. It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial different...

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Bibliographic Details
Main Author: Durrett, Richard, 1951-
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton : CRC Press, ©1996.
Series:Probability and stochastics series.
Subjects:
Stochastic analysis.
Stochastic processes.
Stochastic Processes
Analyse stochastique.
Processus stochastiques.
MATHEMATICS > Applied.
MATHEMATICS > Probability & Statistics > General.
Stochastic processes
Stochastic analysis
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1. Brownian Motion
  • 2. Stochastic Integration
  • 3. Brownian Motion, II
  • 4. Partial Differential Equations
  • 5. Stochastic Differential Equations
  • 6. One Dimensional Diffusions
  • 7. Diffusions as Markov Processes
  • 8. Weak Convergence.