000			01835nam a2200289Ia 4500
003			OSt
005			20251120121712.0
008			220909b |||||||| |||| 00| 0 eng d
020			_a9781107008007
037			_cTextual
040			_aCSL _beng _cCSL
041			_aeng
084			_aB2811 Q1 _qCSL
100			_aBass, Richard F _eauthor _9852575
245		0	_aStochastic Processes
260			_aCambridge : _bCambridge university press , _c2011 .
300			_axv,390p.
490			_acambridge series in statistical and probabilistic mathematica
500			_aIncluded References 385-386p.; Index 387-390p.
520			_aThis 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.
650			_aBrownian motion. _9852576
650			_aProbability theory. _9852577
650			_aStochastic analysis. _9852578
650			_aStatistics. _9852579
942			_hB2811 Q1 _cTEXL _2CC _n0
999			_c7451 _d7451