Stochastic Processes and Models
Published on 21. July 2005
Book
Paperback/Softback
342 pages
978-0-19-856814-8 (ISBN)
Description
Stochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability.
Reviews / Votes
...the author has indeed produced a very good textbook...the book or any of its chapters can be strongly recommended to any university with a modern probability programme...' * Alexander Veretennikov, Bulletin of the London Mathematical Society, * Strongly recommended to students and their teachers * Jordan Stoyanov, JRSSA * The book has an efficient writing style that is rarely found in mathematical textbooks; it is concise without being terse...Stochastic Processes and Models is an excellent foundational text both for grounding application orientated students in some basic theory and building intuition for those students interested in more advanced study in probability theory. * John Fricks, Pennsylvania State University, USA, JASA, 2007 * This excellent introductory book on simple stochastic processes and models is designed for readers familiar with ideas of elementary probability theory. * Ilya Pavlyukevitch, Zentralblatt Math, Vol 1084 *More details
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Dimensions
Height: 244 mm
Width: 170 mm
Thickness: 18 mm
Weight
591 gr
ISBN-13
978-0-19-856814-8 (9780198568148)
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Schweitzer Classification
Other editions
Additional editions
David Stirzaker
Stochastic Processes and Models
Book
07/2005
Oxford University Press
€238.32
Shipment within 15-20 days
David Stirzaker
Stochastic Processes and Models
E-Book
07/2005
1st Edition
OUP eBook
€52.49
Available for download
Person
Content
Probability and Random Variables ; Introduction to Stochastic Processes ; Markov Chains ; Markov Chains in Continuous Time ; Diffusions ; Hints and solutions to selected exercises