Stochastic Processes and Models - David Stirzaker
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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: 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 ... Pilns apraksts
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Aprašymas
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.
Vairāk informācijas
| Autors | David Stirzaker |
|---|---|
| Izdevējs | OUP Oxford |
| Izlaides gads | 2005 |
| Vāka tips | Mīkstais vāks |
| EAN | 9780198568148 |