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Stochastischer Kalkül: Eine praktische Einführung von Richard Durrett: Neu-
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eBay-Artikelnr.:282829150640
Artikelmerkmale
- Artikelzustand
- Book Title
- Stochastic Calculus: A Practical Introduction
- Publication Date
- 1996-06-01
- Edition Number
- 2
- Pages
- 352
- ISBN
- 9780849380716
Über dieses Produkt
Product Identifiers
Publisher
CRC Press LLC
ISBN-10
0849380715
ISBN-13
9780849380716
eBay Product ID (ePID)
436763
Product Key Features
Number of Pages
341 Pages
Language
English
Publication Name
Stochastic Calculus : a Practical Introduction
Publication Year
1996
Subject
Probability & Statistics / Stochastic Processes, General, Applied, Probability & Statistics / Bayesian Analysis, Chemistry / General
Type
Textbook
Subject Area
Mathematics, Science
Series
Probability and Stochastics Ser.
Format
Hardcover
Dimensions
Item Height
0.9 in
Item Weight
21.7 Oz
Item Length
6.1 in
Item Width
9.2 in
Additional Product Features
Edition Number
2
Intended Audience
Scholarly & Professional
LCCN
96-024642
Dewey Edition
20
Series Volume Number
6
Illustrated
Yes
Dewey Decimal
519.2
Table Of Content
CHAPTER 1. BROWNIAN MOTION Definition and Construction Markov Property, Blumenthal's 0-1 Law Stopping Times, Strong Markov Property First Formulas CHAPTER 2. STOCHASTIC INTEGRATION Integrands: Predictable Processes Integrators: Continuous Local Martingales Variance and Covariance Processes Integration w.r.t. Bounded Martingales The Kunita-Watanabe Inequality Integration w.r.t. Local Martingales Change of Variables, Itô's Formula Integration w.r.t. Semimartingales Associative Law Functions of Several Semimartingales Chapter Summary Meyer-Tanaka Formula, Local Time Girsanov's Formula CHAPTER 3. BROWNIAN MOTION, II Recurrence and Transience Occupation Times Exit Times Change of Time, Lévy's Theorem Burkholder Davis Gundy Inequalities Martingales Adapted to Brownian Filtrations CHAPTER 4. PARTIAL DIFFERENTIAL EQUATIONS A. Parabolic Equations The Heat Equation The Inhomogeneous Equation The Feynman-Kac Formula B. Elliptic Equations The Dirichlet Problem Poisson's Equation The Schrödinger Equation C. Applications to Brownian Motion Exit Distributions for the Ball Occupation Times for the Ball Laplace Transforms, Arcsine Law CHAPTER 5. STOCHASTIC DIFFERENTIAL EQUATIONS Examples Itô's Approach Extension Weak Solutions Change of Measure Change of Time CHAPTER 6. ONE DIMENSIONAL DIFFUSIONS Construction Feller's Test Recurrence and Transience Green's Functions Boundary Behavior Applications to Higher Dimensions CHAPTER 7. DIFFUSIONS AS MARKOV PROCESSES Semigroups and Generators Examples Transition Probabilities Harris Chains Convergence Theorems CHAPTER 8. WEAK CONVERGENCE In Metric Spaces Prokhorov's Theorems The Space C Skorohod's Existence Theorem for SDE Donsker's Theorem The Space D Convergence to Diffusions Examples Solutions to Exercises References Index
Synopsis
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. The book 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. The 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., 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 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. 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.
LC Classification Number
QA274.2.D87 1996
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AlibrisBooks
98,8% positive Bewertungen•2,0 Mio. Artikel verkauft
Angemeldet als gewerblicher Verkäufer
Verkäuferbewertungen (526.917)
- e***n (390)- Bewertung vom Käufer.Letzter MonatBestätigter KaufGreat transaction, exactly as described, packed well, and promptly shipped on August 6th. Unfortunately the U.S. Postal Service took 23 calendar days to deliver the book. It was shipped from Pennsylvania, to Atlanta, past Alabama to Texas, enjoyed several days in Texas, then to Minneapolis, Jacksonville, Florida, back to Atlanta, finally to Birmingham, and Huntsville. The seller was very responsive and I decided it was interesting to see if/how the book would arrive. Thanks, Joe
- m***m (2347)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufI’m thrilled with my recent purchase . The website was user-friendly, and the product descriptions were accurate. Customer service was prompt and helpful, answering all my questions. My order arrived quickly, well-packaged, and the product exceeded my expectations in quality. I’m impressed with the attention to detail and the overall experience. I’ll definitely shop here again and highly recommend from this seller to others. Thank you for a fantastic experience!Tobin's Spirit Guide: Official Ghostbusters Edition by Erik Burnham: Used (Nr. 404302598631)
- _***b (57)- Bewertung vom Käufer.Letzter MonatBestätigter KaufI gave 5 stars on shipping because i sent 2 separate emails + they responded with helpful info, even though it arrived late. This was a great value with free shipping + the condition is very good, better than advertised 🙂! The overall quality and appearance is excellent! I highly recommend this seller and give them 👍👍👍👍