A01=Richard Durrett
advanced mathematical modeling
Author_Richard Durrett
Bessel Process
Bounded Convergence Theorem
brownian
Brownian Motion
Brownian Path
Category=PBKA
Category=PBWL
Conditional Characteristic Function
Conditional Expectation
Continuous Local Martingale
Countable State Space
diffusion process analysis
dimensional
Dimensional Brownian Motion
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Exponential Brownian Motion
Feller's Test
Feller’s Test
Finite Dimensional Distributions
Finite Dimensional Sets
Harris Chain
local
Local Martingale
markov
Markov Property
martingale
Martingale Problem
Modified Transition Probability
Monotone Class Theorem
motion
Ordinary Differential Equation
partial differential equations
path
Pathwise Uniqueness
probability theory
problem
property
semigroup theory
Stationary Independent Increments
Stochastic Integral
stochastic processes
strong
Strong Markov Property
Transition Probability
weak convergence
Product details
- ISBN 9780849380716
- Weight: 720g
- Dimensions: 156 x 234mm
- Publication Date: 21 Jun 1996
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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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.
