000			02095 a2200241 4500
008			240328b |||||||| |||| 00| 0 eng d
020			_a9781107008007
082			_a519.232 BAS
100			_aBass, Richard F.
245			_aStochastic processes
260			_aCambridge: _bCambridge University Press, _c2013.
300			_axv, 390p.: _bhbk.: _c24cm.
440			_aCambridge Series in Statistical and Probabilistic Mathematics
504			_aIncludes References and Index
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. Unlike existing books, is uniquely designed for graduate students Fully equips students to tackle the research literature and includes 350 exercises so readers can put the theory into practice Covers all of the necessary material for a first-year graduate course in probability https://www.cambridge.org/in/universitypress/subjects/statistics-probability/probability-theory-and-stochastic-processes/stochastic-processes-1?format=HB
650			_aStochastic Processes
650			_aProbabilistic Mathematics
650			_aBrownian Motion
650			_aGirsanov Theorem
650			_aMarkov Properties
650			_aDirichlet Forms
942			_cTD _2ddc
999			_c60106 _d60106