Essentials of stochastic processes
著者
書誌事項
Essentials of stochastic processes
（Springer texts in statistics）
Springer, c1999
大学図書館所蔵 全67件
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
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