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.
- ISBN:
- 9780198568148
- 9780198568148
-
Category:
- Probability & statistics
- Format:
- Paperback
- Publication Date:
-
21-07-2005
- Language:
- English
- Publisher:
- Oxford University Press
- Country of origin:
- United Kingdom
- Pages:
- 342
- Dimensions (mm):
- 245x172x20mm
- Weight:
- 0.6kg
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