Essentials of Stochastic Processes

1. Auflage 1999. Corr. 2. printing. Softcover version of original hardcover Auflage 1999
ISBN: 978-1-4419-3171-9
Verlag: Springer Netherlands

Buch, Englisch, 281 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 450 g

Reihe: Springer Texts in Statistics

Stochastic processes have become important for many fields, including mathematical finance and engineering. Written by one of the worlds leading probabilists, this book presents recent results previously available only in specialized monographs. It features the introduction and use of martingales, which allow readers to do much more with Brownian motion, e.g., applications to option pricing, and integrates queueing theory into the presentation of continuous time Markov chains and renewal theory.

Zielgruppe

Graduate

Autoren/Hrsg.

Durrett, Richard

Fachgebiete

• Mathematik | Informatik Mathematik Operations Research
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

1. Markov Chains; 2. Martingales; 3. Poisson Processes; 4. Markov Chains; 5. Renewal Theory; 6. Brownian Motion