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Academic & Professional Books  Reference  Data Analysis & Modelling  Data Analysis & Statistics

Stochastic Processes and Models

Textbook
By: David Stirzaker
331 pages, Illus
Stochastic Processes and Models
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  • Stochastic Processes and Models ISBN: 9780198568148 Paperback Jul 2005 Not in stock: Usually dispatched within 6 days
    £56.99
    #155109
Price: £56.99
About this book Contents Customer reviews Related titles

About this book

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.

Contents

Probability and Random Variables; Introduction to Stochastic Processes; Markov Chains; Markov Chains in Continuous Time; Diffusions; Hints and solutions to selected exercises

Customer Reviews

Textbook
By: David Stirzaker
331 pages, Illus
Media reviews
The book has an efficient writing style that is rarely found in mathematical textbooks; it is concise without being terse...Stochastic Processes and Models is an excellent foundational text both for grounding application orientated students in some basic theory and building intuition for those students interested in more advanced study in probability theory. John Fricks, Pennsylvania State University, USA, JASA, 2007, No.477, Page 389 This excellent introductory book on simple stochastic processes and models is designed for readers familiar with ideas of elementary probability theory. Ilya Pavlyukevitch
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