Essentials of Stochastic Processes eBook

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This book is for a first course on stochastic processes to be taken by undergraduates or master's students, who have had a course in probability theory, but who have not had a course in measure theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal theory, and Brownian motion and martingales. The last two topics are important for the brief treatment of option pricing.The book presents only the essentials of the subject, the parts of the theory most important for applications. To allow readers to choose their own level of detail, many of the proofs begin with a nonrigorous answer to the question "Why is this true ?"followed by a proof that fills in the missing details. Probability theory was developed to solve problems, so most of the text is devoted to analyzing examples. There are more than 325 carefully chosen problems to deepen the reader's understanding.
INFORMATION

AUTEUR: Rick Durrett

NOM DE FICHIER: Essentials of Stochastic Processes.pdf

DATE DE PUBLICATION: 2001-Jul-11

TAILLE DU FICHIER: 4,51 MB

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Essentials of Stochastic Processes

Essentials of Stochastic Processes. Authors: Durrett, Richard Free Preview. A concise treatment and textbook on the most important topics in Stochastic Processes; All concepts illustrated by examples and more than 300 carefully chosen exercises for effective learning; New edition includes added and revised exercises, including many biological exercises, in addition to restructured and ...

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Essentials of Stochastic Processes by Richard Durrett, 9783319456133, available at Book Depository with free delivery worldwide.

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