Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2011
|
| Schriftenreihe: | Cambridge series on statistical and probabilistic mathematics
33 |
| Links: | https://doi.org/10.1017/CBO9780511997044 |
| Zusammenfassung: | This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes and semigroup theory. Applications include the Black-Scholes formula for the pricing of derivatives in financial mathematics, the Kalman-Bucy filter used in the US space program and also theoretical applications to partial differential equations and analysis. Short, readable chapters aim for clarity rather than full generality. More than 350 exercises are included to help readers put their new-found knowledge to the test and to prepare them for tackling the research literature. |
| Umfang: | 1 Online-Ressource (xv, 390 Seiten) |
| ISBN: | 9780511997044 |
Internformat
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| institution | BVB |
| isbn | 9780511997044 |
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| spelling | Bass, Richard F. Stochastic processes Richard F. Bass Cambridge Cambridge University Press 2011 1 Online-Ressource (xv, 390 Seiten) txt c cr Cambridge series on statistical and probabilistic mathematics 33 This comprehensive guide to stochastic processes gives a complete overview of the theory and addresses the most important applications. Pitched at a level accessible to beginning graduate students and researchers from applied disciplines, it is both a course book and a rich resource for individual readers. Subjects covered include Brownian motion, stochastic calculus, stochastic differential equations, Markov processes, weak convergence of processes and semigroup theory. Applications include the Black-Scholes formula for the pricing of derivatives in financial mathematics, the Kalman-Bucy filter used in the US space program and also theoretical applications to partial differential equations and analysis. Short, readable chapters aim for clarity rather than full generality. More than 350 exercises are included to help readers put their new-found knowledge to the test and to prepare them for tackling the research literature. Erscheint auch als Druck-Ausgabe 9781107008007 |
| spellingShingle | Bass, Richard F. Stochastic processes |
| title | Stochastic processes |
| title_auth | Stochastic processes |
| title_exact_search | Stochastic processes |
| title_full | Stochastic processes Richard F. Bass |
| title_fullStr | Stochastic processes Richard F. Bass |
| title_full_unstemmed | Stochastic processes Richard F. Bass |
| title_short | Stochastic processes |
| title_sort | stochastic processes |
| work_keys_str_mv | AT bassrichardf stochasticprocesses |