Stochastic processes and models / David Stirzaker.
"Stochastic Processes and Models provides and concise 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 f...
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Main Author: | |
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Format: | Book |
Language: | English |
Published: |
Oxford ; New York :
Oxford University Press,
2005.
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Subjects: |
Summary: | "Stochastic Processes and Models provides and concise 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 for students of statistics, mathematics, finance and operational research."--BOOK JACKET. |
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Physical Description: | vi, 331 pages : illustrations ; 25 cm |
Bibliography: | Includes bibliographical references (page 323). |
ISBN: | 0198568134 9780198568131 0198568142 9780198568148 |