商品簡介
An introductory text pinpointing the stochastic theories useful for application to mathematical finance, queuing, biology, and physics. Durrett (mathematics, Cornell U.) describes Brownian motion and associated stochastic calculus, the relationship to partial differential equations, solves the equations by a variety of methods, and includes treatments of semigroups, generators, Harris chains to diffusions, and weak convergence of Markov chains to diffusions. Road-tested in the classrooms of Cornell, the volume features student friendly solutions for exercises and simplifies content to its essential elements. Annotation c. by Book News, Inc., Portland, Or.
