Stochastic Processes and Models

Name: Stochastic Processes and Models
Availability: InStock
ISBN: 9780198568131

ISBN-10: 0198568134

ISBN-13: 9780198568131

Edition: 2005

Authors: David Stirzaker

List price: $230.00

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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.

Book details

List price: $230.00
Copyright year: 2005
Publisher: Oxford University Press, Incorporated
Publication date: 9/15/2005
Binding: Hardcover
Pages: 342
Size: 7.01" wide x 10.00" long x 0.99" tall
Weight: 1.628
Language: English

David Stirzaker is Associate Professor in the Mathematical Institute at the University of Oxford and an Emeritus Research Fellow at St John's College, Oxford. His previous titles include Probability and Random Processes (with Geoffrey Grimmett, 2001) and Elementary Probability (Cambridge University Press, 2003).



Probability and Random Variables


Introduction to Stochastic Processes


Markov Chains


Markov Chains in Continuous Time


Diffusions


Hints and solutions to selected exercises