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Stochastic Calculus

An Elementary Introduction Emphasizing Applications
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  • Stochastic Calculus on Hardback by Richard Durrett
  • Stochastic Calculus on Hardback by Richard Durrett
$203.00
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Description

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.
Release date NZ
January 5th, 2026
Audiences
  • General (US: Trade)
  • Tertiary Education (US: College)
Illustrations
10 Illustrations, black and white
Pages
250
ISBN-13
9781466566415
Product ID
20334939

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