Stochastic Calculus: An Elementary Introduction Emphasizing Applications

by Richard Durrett

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,...

• Format: Hardcover
• Language: English
• ISBN: 1466566418
• ISBN13: 9781466566415
• Release Date: January 2026
• Publisher: CRC Press
• Length: 250 Pages