| Stochastic Calculus: An Elementary Introduction Emphasizing Applications Contributor(s): Durrett, Richard (Author) |
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ISBN: 1466566418 ISBN-13: 9781466566415 Publisher: CRC Press OUR PRICE: $66.45 Product Type: Hardcover - Other Formats Published: January 2026 This item may be ordered no more than 25 days prior to its publication date of January 5, 2026 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - Bayesian Analysis - Mathematics | Applied |
| Dewey: 519.2 |
| Physical Information: 250 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |