Stochastic Processes and Models
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Book 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.
Format:Paperback
Language:English
ISBN:0198568142
ISBN13:9780198568148
Release Date:September 2005
Publisher:Oxford University Press, USA
Length:342 Pages
Weight:1.25 lbs.
Dimensions:0.7" x 6.8" x 9.7"
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