Essentials of stochastic processes

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Résumé : This book is for a first course in stochastic processes taken by undergraduates or master's students who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and mathematical finance. 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. The book has undergone a thorough …

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Title Statements

Full title :Essentials of stochastic processes / Richard Durrett.

Summary

Résumé : This book is for a first course in stochastic processes taken by undergraduates or master's students who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and mathematical finance. 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. The book has undergone a thorough revision since the first edition. There are many new examples and problems with solutions that use the TI-83 to eliminate the tedious details of solving linear equations by hand. Some material that was too advanced for the level has been eliminated while the 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 seen in the treatment of mathematical finance. Richard Durrett received his Ph. D. in Operations Research from Stanford in 1976. He taught at the UCLA math department for nine years and at Cornell for twenty-five before moving to Duke in 2010. He is the author of 8 books and almost 200 journal articles, and has supervised more that 40 Ph. D. students. Most of his current research concerns the applications of probability to biology : ecology, genetics, and most recently cancer.

Edition Statements

Publication Date:©2012.
Edition:2nd ed

Publication Statements

Publisher(s):Springer
Place of Publication:New York
Language:eng
Publication Date:©2012.

Notes

Titre de l'écran-titre (visionné le 22 juillet 2013).

Édition précédente : ©1999.

The Physical Object

Description:1 ressource en ligne (1 texte électronique (x, 265 pages)) : : illustrations (certaines en couleur), fichiers PDF

Edition Identifiers

ISBN:9781461436157, 146143615X
oclc:on1131981499
LC Classification:QA274
Dewey Decimal:519.2/3

Subjects

Livre électronique (Descripteur de form… Livres électroniques Manuel d'enseignement supérieur (Descri… Manuels d'enseignement supérieur processus stochastique Processus stochastiques Processus stochastiques -- Manuels d'en… Ressource Internet (Descripteur de form… Stochastic Processes Stochastic processes -- Textbooks Textbooks