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Diffusion Processes, Jump Processes, and Stochastic Differential Equations
Contributor(s): Woyczyński, Wojbor A. (Author)
ISBN: 1032100672     ISBN-13: 9781032100678
Publisher: CRC Press
OUR PRICE:   $109.25  
Product Type: Hardcover - Other Formats
Published: March 2022
Qty:
Additional Information
BISAC Categories:
- Mathematics | Probability & Statistics - Stochastic Processes
- Mathematics | Differential Equations - General
- Mathematics | Applied
Dewey: 519.233
LCCN: 2021032255
Physical Information: 0.38" H x 7" W x 10" (1.02 lbs) 138 pages
 
Descriptions, Reviews, Etc.
Publisher Description:

Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems.

Features

  • Quickly and concisely builds from basic probability theory to advanced topics

  • Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations

  • Useful as supplementary reading across a range of topics.