Diffusion Processes, Jump Processes, and Stochastic Differential Equations (Hardcover)

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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.
Product Details
ISBN: 9781032100678
ISBN-10: 1032100672
Publisher: CRC Press
Publication Date: March 21st, 2022
Pages: 126
Language: English