02191nam a22003378a 4500 CR9780511997044 UkCbUP 20180107143416.0 m|||||o||d|||||||| cr|||||||||||| 110110s2011||||enk s ||1 0|eng|d 9780511997044 (ebook) 9781107008007 (hardback) UkCbUP UkCbUP rda QA274.2 .B375 2011 519.2/32 23 Bass, Richard F., author. Stochastic Processes / [electronic resource] Richard F. Bass. Cambridge : Cambridge University Press, 2011. 1 online resource (404 pages) : digital, PDF file(s). text txt rdacontent computer c rdamedia online resource cr rdacarrier Cambridge Series in Statistical and Probabilistic Mathematics ; no. 33 Title from publisher's bibliographic system (viewed on 09 Oct 2015). 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. Stochastic analysis Print version: 9781107008007 Cambridge Series in Statistical and Probabilistic Mathematics ; no. 33. http://dx.doi.org/10.1017/CBO9780511997044 Cambridge Books Online 236793 236793