Stochastic Calculus

NOTE EDITORE

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, applying the theory of Harris chains to diffusions as well as weak convergence of Markov chains to diffusions.

ALTRE INFORMAZIONI

• Condizione: Nuovo
• ISBN: 9781466566415
• Dimensioni: 9.25 x 6.25 in
• Formato: Copertina rigida
• Illustration Notes: 10 b/w images
• Pagine Arabe: 250