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Stochastic Processes and Models|David Stirzaker

Stochastic Processes and Models

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Overview

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: randon 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.

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Details

  • ISBN-13: 9780198568148
  • ISBN-10: 0198568142
  • Publisher: OUP Oxford
  • Publish Date: September 2005
  • Dimensions: 9.7 x 6.78 x 0.73 inches
  • Shipping Weight: 1.35 pounds
  • Page Count: 342

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