Stochastic calculus
Subtitle: a practical introduction
By: Richard Durrett.
Contributors: Durrett, Richard, 1951-
Series: Probability and stochastics series
Publisher: CRC Press
Published: 1996
Place of publication: Boca Raton
Language: eng
Number of pages: 341
Subjects: Stochastic analysis
Description: 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.
Notes: Includes bibliographical references (p. [335]-338) and index.
Rev. ed. of: Brownian motion and martingales in analysis. c1984.