Diffusion Processes, Jump Processes, and Stochastic Differential Equations
Diffusion Processes, Jump Processes, and Stochastic Differential Equations
by Wojbor A. Woyczynski
English | 2022 | ISBN: 1032100672 | 139 pages | True PDF | 8.18 MB
by Wojbor A. Woyczynski
English | 2022 | ISBN: 1032100672 | 139 pages | True PDF | 8.18 MB
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.