Stochastic CalculusA Practical Introduction\nAuthor(s): Richard Durrett\nFormat: Hardback\nPublisher: Taylor & Francis Inc, United States\nImprint: CRC Press Inc\nISBN-13: 9780849380716, 978-0849380716\nSynopsis\nThis 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.\n\nThe presentation is unparalleled in its clarity and simplicity. Whether your students are interested in probability, analysis, differential geometry or applications in operations research, physi.