Essentials of stochastic processes

Author(s)

• Durrett, Richard

Bibliographic Information

Essentials of stochastic processes

Rick Durrett

（Springer texts in statistics）

Springer, c2010

• : pbk

Note

Bibliography: p. [271]-272

Includes index

Description and Table of Contents

Description

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.

Table of Contents

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

by "Nielsen BookData"

• NCID: BB07189518
• ISBN:
  • 9781441931719
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: New York
• Pages/Volumes: vi, 281 p.
• Size: 24 cm
• Classification:
  • DC21 : 519.2
• Subject Headings:
  • LCSH : Stochastic processes
• Parent Bibliography ID:
  • BA00265563