Stochastic Processes with Applications
2nd Edition
Published in January 2012
Book
Hardback
978-0-387-98792-7 (ISBN)
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Description
Intended for use in a graduate mathematics course in stochastic processes, this book is also suitable for students from sciences and engineering. Focusing on computation and examples, it contains "Chapter applications" at the end of the chapters, which are drawn from physics, computer science, economics, and engineering.
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Content
* Random Walk and Brownian Motion * Discrete Parameter Markov Processes * Continuous Parameter Markov Processes * Martingales * Analytic Theory of Diffusions * Stochastic Differential Equations and Diffusions * Dynamic Programming, Stochastic Optimization, Finance * An Overview of Probability