Stochastic Calculus: A Practical Introduction

by Richard Durrett

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...

• Format: Hardcover
• Language: English
• ISBN: 0849380715
• ISBN13: 9780849380716
• Release Date: August 1996
• Publisher: CRC Press
• Length: 352 Pages
• Weight: 1.55 lbs.
• Dimensions: 1.1" x 6.3" x 9.3"