Stochastic calculus : a practical introduction

＜図書＞
Stochastic calculus : a practical introduction

責任表示	Richard Durrett
シリーズ	Probability and stochastics series
データ種別	図書
出版情報	Boca Raton : CRC Press , c1996
本文言語	英語
大きさ	vi, 341 p. ; 24 cm
概要	This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications . It begins with a description of Brownian motion and the associated stochastic calcu...us, 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. The book concludes with a treatment of semigroups and generators, applying the theory of Harris chains to diffusions, and presenting a quick course in weak convergence of Markov chains to diffusions. The presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physics, finance, or the many other areas to which the subject applies, you'll find that this text brings together the material you need to effectively and efficiently impart the practical background they need. 続きを見る

一般注記	Rev. ed. of: Brownian motion and martingales in analysis. c1984 Includes bibliographical references (p. [335]-338) and index
著者標目	*Durrett, Richard, 1951-
件　名	LCSH:Stochastic analysis
分　類	NDC9:417.1 LCC:QA274.2 DC20:519.2
書誌ID	1000975401
ISBN	0849380715
NCID	BA28638623
巻冊次	ISBN:0849380715
登録日	2009.09.16
更新日	2009.09.17