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Item Details
| Title:
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ESSENTIALS OF STOCHASTIC PROCESSES
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| By: |
Richard Durrett |
| Format: |
Hardback |
| List price:
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£99.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
331945613X |
| ISBN 13: |
9783319456133 |
| Publisher: |
SPRINGER INTERNATIONAL PUBLISHING AG |
| Pub. date: |
8 November, 2016 |
| Edition: |
3rd ed. 2016 |
| Series: |
Springer Texts in Statistics |
| Pages: |
275 |
| Description: |
In its revised new edition, this book covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales and mathematical finance. Offers many examples and more than 300 carefully chosen exercises for better understanding. |
| Synopsis: |
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader's understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance. |
| Illustrations: |
26 Illustrations, black and white; IX, 275 p. 26 illus. |
| Publication: |
Switzerland |
| Imprint: |
Springer International Publishing AG |
| Returns: |
Non-returnable |
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