Richard Timothy Durrett

Book · April 5, 2019 This lively introduction to measure-theoretic probability theory covers laws of large numbers, central limit theorems, random walks, martingales, Markov chains, ergodic theorems, and Brownian motion. Concentrating on results that are the most useful for ap ... Full text Cite

Stochastic Calculus: A Practical Introduction

Book · January 1, 2018 This compact yet thorough text zeros in on the parts of the theory that are particularly relevant to applications. It begins with a description of Brownian motion and the associated stochastic calculus, including their relationship to partial differential ... Full text Cite