Essentials of stochastic processes

著者

• Durrett, Richard

書誌事項

Essentials of stochastic processes

Rick Durrett

（Springer texts in statistics）

Springer, c1999

注記

Reprinted with corrections, c2004

Includes bibliographical reference (p. [271]-272) and index

内容説明・目次

内容説明

Stochastic processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs. It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory.

目次

• 1. Markov Chains
• 2. Martingales
• 3. Poisson Processes
• 4. Markov Chains
• 5. Renewal Theory
• 6. Brownian Motion

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA42813723
• ISBN:
  • 9780387988368
• LCCN: 99014733
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New York
• ページ数/冊数: vi, 281 p.
• 大きさ: 25 cm
• 分類:
  • LCC : QA274
  • DC21 : 519.2
• 件名:
  • LCSH : Stochastic processes
• 親書誌ID:
  • BA00265563