The Resource Stochastic calculus : a practical introduction, Richard Durrett

Stochastic calculus : a practical introduction, Richard Durrett

Label
Stochastic calculus : a practical introduction
Title
Stochastic calculus
Title remainder
a practical introduction
Statement of responsibility
Richard Durrett
Creator
Contributor
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Subject
Language
eng
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
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1951-
http://library.link/vocab/creatorName
Durrett, Richard
Index
index present
LC call number
QA274.2
LC item number
.D87 1996
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1951-
http://library.link/vocab/relatedWorkOrContributorName
Durrett, Richard
http://library.link/vocab/subjectName
  • Stochastic analysis
  • convergence faible
  • processus Markov
  • diffusion
  • équation différentielle stochastique
  • EDP
  • intégration
  • mouvement brownien
  • calcul stochastique
  • Analyse stochastique
  • Stochastic analysis
  • Stochastische analyse
  • Analise estocastica
  • Processos estocasticos
  • Analyse stochastique
  • Probabilités
  • Intégrales stochastiques
Label
Stochastic calculus : a practical introduction, Richard Durrett
Instantiates
Publication
Note
Rev. ed. of: Brownian motion and martingales in analysis. c1984
Bibliography note
Includes bibliographical references (p. [335]-338) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
24 cm.
Extent
vi, 341 pages
Isbn
9780849380716
Lccn
96024642
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
  • (OCoLC)34894437
  • (OCoLC)ocm34894437
Label
Stochastic calculus : a practical introduction, Richard Durrett
Publication
Note
Rev. ed. of: Brownian motion and martingales in analysis. c1984
Bibliography note
Includes bibliographical references (p. [335]-338) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
24 cm.
Extent
vi, 341 pages
Isbn
9780849380716
Lccn
96024642
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
  • (OCoLC)34894437
  • (OCoLC)ocm34894437

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